Testing asymmetry in dependence with copula-coskewness
Date
2016
Journal Title
Journal ISSN
Volume Title
Publisher
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.
Description
Table of contents
Keywords
asymmetry, diversification, copula, exchangeability, coskewness