Langanzeige der Metadaten
DC Element | Wert | Sprache |
---|---|---|
dc.contributor.author | Siburg, Karl Friedrich | - |
dc.contributor.author | Stehling, Katharina | - |
dc.contributor.author | Stoimenov, Pavel A. | - |
dc.contributor.author | Woerner, Jeannette H. C. | - |
dc.date.accessioned | 2013-11-19T12:59:09Z | - |
dc.date.available | 2013-11-19T12:59:09Z | - |
dc.date.issued | 2013-11-19 | - |
dc.identifier.uri | http://hdl.handle.net/2003/31165 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-10842 | - |
dc.description.abstract | We investigate symmetry properties of bivariate copulas. For this, we introduce an order of asymmetry, as well as measures of asymmetry which are monotone in that order. As for applications, we show that asymmetry does occur in real financial data. This implies that in finance and risk management, asymmetric models should be favored against the usual symmetric ones. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;44/2013 | - |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | An order for asymmetry in copulas, and implications for risk management | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
4413_DP_SFB823_Siburg_Stehling_Stoimenov_Woerner.pdf | DNB | 575.08 kB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
Diese Ressource ist urheberrechtlich geschützt.
rightsstatements.org