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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.


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
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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:
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

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