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Testing asymmetry in dependence with copula-coskewness
Recurso electrónico / Electronic resource
MAP20170033240
Bücher, Axel ‌
Testing asymmetry in dependence with copula-coskewness / Axel Bücher, Felix lrresberger, Gregor N. F. Weiss
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
En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 05/06/2017 Tomo 21 Número 2 - 2017 , p. 267-280
1. Modelización mediante cópulas ‌. 2. Cálculo actuarial ‌. 3. Matemática del seguro ‌. I. lrresberger, Felix ‌. II. Weiss, Gregor N. F. ‌. III. Título.