Testing asymmetry in dependence with copula-coskewness

Bücher, Axel, Irresberger, Felix ORCID: https://orcid.org/0000-0002-7181-9190 and Weiß, Gregor 2017. Testing asymmetry in dependence with copula-coskewness. North American Actuarial Journal 21 (2) , pp. 267-280. 10.1080/10920277.2017.1282876

Full text not available from this repository.

Abstract

A new measure of asymmetry in dependence is proposed which is based on taking the difference between the margin-free coskewness parameters of the underlying copula. The new measure and a related test are applied to both a hydrological and a financial market data sample and we show that both samples exhibit systematic asymmetric dependence.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HG Finance
Publisher:	Taylor & Francis
ISSN:	1092-0277
Last Modified:	02 Nov 2022 09:38
URI:	https://orca.cardiff.ac.uk/id/eprint/95897

Citation Data

Cited 4 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item