Bücher, Axel, Irresberger, Felix ![]() |
Official URL: https://doi.org/10.1080/10920277.2017.1282876
Abstract
A new measure of asymmetry in dependence is proposed which 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 |
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Date Type: | Publication |
Status: | Published |
Schools: | Business (Including Economics) |
Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance |
Publisher: | Taylor & Francis |
ISSN: | 1092-0277 |
Last Modified: | 02 Nov 2022 09:38 |
URI: | https://orca.cardiff.ac.uk/id/eprint/95897 |
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