Authors: Bücher, Axel
Irresberger, Felix
Weiss, Gregor N. F.
Title: Testing asymmetry in dependence with copula-coskewness
Language (ISO): en
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.
Subject Headings: asymmetry
diversification
copula
exchangeability
coskewness
URI: http://hdl.handle.net/2003/34961
http://dx.doi.org/10.17877/DE290R-17009
Issue Date: 2016
Appears in Collections:Sonderforschungsbereich (SFB) 823

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