Coskewness under dependence uncertainty

Carole Bernard, Jinghui Chen, Ludger Rüschendorf and Steven Vanduffel ()

Statistics & Probability Letters, 2023, vol. 199, issue C

Abstract: We study the impact of dependence uncertainty on E(X1X2⋯Xd), Xi∼Fi. Under some conditions on the Fi, explicit sharp bounds are obtained. A numerical method is provided to approximate them for arbitrary Fi. We introduce a notion of “standardized rank coskewness”, which is invariant under strictly increasing transformations and takes values in [−1,1].

Keywords: Expected product; Higher-order moments; Copula; Coskewness; Risk bounds (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2023.109853

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