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Testing asymmetry in dependence with copula-coskewness
Recurso electrónico / Electronic resource
Section: Articles
Title: Testing asymmetry in dependence with copula-coskewness / Axel Bücher, Felix lrresberger, Gregor N. F. WeissAuthor: Bücher, Axel ‌
Notes: Sumario: 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.Related records: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 05/06/2017 Tomo 21 Número 2 - 2017 , p. 267-280Materia / lugar / evento: Modelización mediante cópulas ‌Cálculo actuarial ‌Matemática del seguro ‌Otros autores: lrresberger, Felix ‌
Weiss, Gregor N. F. ‌
Other categories: 6
Rights: In Copyright (InC)
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