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 |
Files in This Item:
File | Description | Size | Format | |
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DP_2216_SFB823_Bücher_Irresberger_Weiss.pdf | DNB | 511.55 kB | Adobe PDF | View/Open |
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