Testing Asymmetry in Dependence with Copula-Coskewness

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

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