Cookies

We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.


Durham Research Online
You are in:

Testing asymmetry in dependence with copula-coskewness.

Bücher, Axel and Irresberger, Felix and Weiss, Gregor N. F. (2017) 'Testing asymmetry in dependence with copula-coskewness.', North American actuarial journal., 21 (2). pp. 267-280.

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.

Item Type:Article
Full text:(AM) Accepted Manuscript
Download PDF
(565Kb)
Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1080/10920277.2017.1282876
Publisher 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
Date accepted:03 November 2016
Date deposited:24 July 2020
Date of first online publication:01 May 2017
Date first made open access:24 July 2020

Save or Share this output

Export:
Export
Look up in GoogleScholar