An order for asymmetry in copulas, and implications for risk management
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Date
2013-11-19
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Abstract
We investigate symmetry properties of bivariate copulas. For this, we introduce
an order of asymmetry, as well as measures of asymmetry which are monotone in
that order. As for applications, we show that asymmetry does occur in real financial
data. This implies that in finance and risk management, asymmetric models should
be favored against the usual symmetric ones.