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Testing asymmetry in dependence with copula-coskewness

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      <subfield code="a">Bücher, Axel</subfield>
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      <subfield code="a">Testing asymmetry in dependence with copula-coskewness</subfield>
      <subfield code="c">Axel Bücher, Felix lrresberger, Gregor N. F. Weiss</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="a">lrresberger, Felix</subfield>
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      <subfield code="a">Weiss, Gregor N. F.</subfield>
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      <subfield code="t">North American actuarial journal</subfield>
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      <subfield code="g">05/06/2017 Tomo 21 Número 2 - 2017 , p. 267-280</subfield>
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