Testing Asymmetry in Dependence with Copula-Coskewness

20 Pages Posted: 2 May 2016 Last revised: 15 Jan 2017

See all articles by Axel Bücher

Axel Bücher

Ruhr University of Bochum

Felix Irresberger

Durham University

Gregor N. F. Weiss

University of Leipzig - Faculty of Economics and Management Science

Date Written: January 12, 2017

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.

Keywords: Asymmetry, coskewness, exchangeability, copula, diversification

JEL Classification: C00, C12, C58

Suggested Citation

Bücher, Axel and Irresberger, Felix and Weiss, Gregor N. F., Testing Asymmetry in Dependence with Copula-Coskewness (January 12, 2017). Available at SSRN: https://ssrn.com/abstract=2772730 or http://dx.doi.org/10.2139/ssrn.2772730

Axel Bücher

Ruhr University of Bochum ( email )

Universitätsstraße 150
Bochum, NRW 44780
Germany

Felix Irresberger

Durham University ( email )

Old Elvet
Mill Hill Lane
Durham, Durham DH1 3HP
United Kingdom

Gregor N. F. Weiss (Contact Author)

University of Leipzig - Faculty of Economics and Management Science ( email )

Grimmaische Str. 12
Leipzig, 04109
Germany
+49 341 97 33821 (Phone)
+49 341 97 33829 (Fax)

HOME PAGE: http://www.wifa.uni-leipzig.de/nfdl

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