Testing Asymmetry in Dependence with Copula-Coskewness
20 Pages Posted: 2 May 2016 Last revised: 15 Jan 2017
Date Written: January 12, 2017
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: Suggested Citation