Testing asymmetry in dependence with copula-coskewness

dc.contributor.author	Bücher, Axel
dc.contributor.author	Irresberger, Felix
dc.contributor.author	Weiss, Gregor N. F.
dc.date.accessioned	2016-05-11T10:14:08Z
dc.date.available	2016-05-11T10:14:08Z
dc.date.issued	2016
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/34961
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-17009
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB823;22, 2016	en
dc.subject	asymmetry	en
dc.subject	diversification	en
dc.subject	copula	en
dc.subject	exchangeability	en
dc.subject	coskewness	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Testing asymmetry in dependence with copula-coskewness	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access
eldorado.dnb.deposit	true	de

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