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.

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Keywords

asymmetry, diversification, copula, exchangeability, coskewness

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