Testing asymmetry in dependence with copula-coskewness
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20170033240 | ||
| 003 | MAP | ||
| 005 | 20171122122214.0 | ||
| 008 | 171017e20170605esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20170013198$aBücher, Axel | ||
| 245 | 1 | 0 | $aTesting asymmetry in dependence with copula-coskewness$cAxel Bücher, Felix lrresberger, Gregor N. F. Weiss |
| 520 | $aA 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. | ||
| 650 | 4 | $0MAPA20090035034$aModelización mediante cópulas | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 700 | 1 | $0MAPA20170014720$alrresberger, Felix | |
| 700 | 1 | $0MAPA20170014737$aWeiss, Gregor N. F. | |
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g05/06/2017 Tomo 21 Número 2 - 2017 , p. 267-280 |