Testing Asymmetry in Dependence with Copula-Coskewness

Bücher, Axel; Irresberger, Felix; Weiss, Gregor N.F.

doi:10.1080/10920277.2017.1282876

Testing Asymmetry in Dependence with Copula-Coskewness

Bücher, Axel; Irresberger, Felix; Weiss, Gregor N.F.

Authors

Axel Bücher

Dr Felix Irresberger felix.irresberger@durham.ac.uk
Professor

Gregor N.F. Weiss

Abstract

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.

Citation

Bücher, A., Irresberger, F., & Weiss, G. N. (2017). Testing Asymmetry in Dependence with Copula-Coskewness. North American Actuarial Journal, 21(2), 267-280. https://doi.org/10.1080/10920277.2017.1282876

Journal Article Type	Article
Acceptance Date	Nov 3, 2016
Online Publication Date	May 1, 2017
Publication Date	2017
Deposit Date	Jul 23, 2020
Publicly Available Date	Jul 24, 2020
Journal	North American Actuarial Journal
Print ISSN	1092-0277
Electronic ISSN	2325-0453
Publisher	Taylor and Francis Group
Peer Reviewed	Peer Reviewed
Volume	21
Issue	2
Pages	267-280
DOI	https://doi.org/10.1080/10920277.2017.1282876
Public URL	https://durham-repository.worktribe.com/output/1260082
Related Public URLs	http://eprints.whiterose.ac.uk/120778/1/SSRN-id2772730.pdf

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Copyright Statement
This is an Accepted Manuscript of an article published by Taylor & Francis in North American actuarial journal on 1 May 2017, available online: http://www.tandfonline.com/10.1080/10920277.2017.1282876