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Testing asymmetry in dependence with copula-coskewness

Recurso electrónico / Electronic resource
Registro MARC
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100  ‎$0‎MAPA20170013198‎$a‎Bücher, Axel
24510‎$a‎Testing asymmetry in dependence with copula-coskewness‎$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
7001 ‎$0‎MAPA20170014720‎$a‎lrresberger, Felix
7001 ‎$0‎MAPA20170014737‎$a‎Weiss, Gregor N. F.
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎05/06/2017 Tomo 21 Número 2 - 2017 , p. 267-280