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dc.contributor.authorBücher, Axel-
dc.contributor.authorIrresberger, Felix-
dc.contributor.authorWeiss, Gregor N. F.-
dc.date.accessioned2016-05-11T10:14:08Z-
dc.date.available2016-05-11T10:14:08Z-
dc.date.issued2016-
dc.identifier.urihttp://hdl.handle.net/2003/34961-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-17009-
dc.description.abstractA 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.en
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;22, 2016en
dc.subjectasymmetryen
dc.subjectdiversificationen
dc.subjectcopulaen
dc.subjectexchangeabilityen
dc.subjectcoskewnessen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleTesting asymmetry in dependence with copula-coskewnessen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
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