EconPapers    
Economics at your fingertips  
 

Multivariate Reflection Symmetry of Copula Functions

Monica Billio (), Lorenzo Frattarolo () and Dominique Guegan ()
Additional contact information
Lorenzo Frattarolo: University Ca' Foscari of Venice - Department of Economics, http://www.unive.it/
Dominique Guegan: Centre d'Economie de la Sorbonne and LabEx ReFi, http://www.univ-paris1.fr/recherche/page-perso/page/?uid=dguegan

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: We propose a multivariate nonparametric copula test of reflection symmetry. The test is valid in any number of dimensions, extending previous results that cover the bivariate case. Furthermore, the asymptotic theory for the test relies on recent results on the dependent multiplier bootstrap, valid for sub-exponentially strongly mixing data. Consequently to the introduction of those two features, the procedure is suitable for financial time series whose asymmetric dependence, in distressed periods, has already been documented elsewhere. We conduct an extensive simulation study of empirical size and power and provide several examples of applications. In particular, we investigate the use of the statistic as a financial stress indicator by comparing it with the CISS, the leading ECB indicator

Keywords: Dependence Asymmetry; Copula; Reflection Symmetry; Radial Symmetry; Empirical Process; Dependent Multiplier Bootstrap; Financial Stress (search for similar items in EconPapers)
JEL-codes: D81 C10 C40 C52 (search for similar items in EconPapers)
Date: 2017-07
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2017/17033.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:17033

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Series data maintained by Lucie Label ().

 
Page updated 2017-12-05
Handle: RePEc:mse:cesdoc:17033