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
Issue Date: 2016
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_2216_SFB823_Bücher_Irresberger_Weiss.pdfDNB511.55 kBAdobe PDFView/Open

This item is protected by original copyright

Items in Eldorado are protected by copyright, with all rights reserved, unless otherwise indicated.