Testing Asymmetry in Dependence with Copula-Coskewness

Axel Bücher, Felix Irresberger and Gregor N. F. Weiss

North American Actuarial Journal, 2017, vol. 21, issue 2, 267-280

Abstract: A new measure of asymmetry in dependence is proposed that 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.

Date: 2017
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DOI: 10.1080/10920277.2017.1282876

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