Testing Asymmetry in Dependence with Copula-Coskewness
(2017)
Journal Article
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
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... Read More about Testing Asymmetry in Dependence with Copula-Coskewness.