Weiss, Gregor N. F.
|Title:||Testing asymmetry in dependence with copula-coskewness|
|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.|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_2216_SFB823_Bücher_Irresberger_Weiss.pdf||DNB||511.55 kB||Adobe PDF||View/Open|
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