Testing Asymmetry in Dependence with Copula-Coskewness |
| |
| Authors: | Axel Bücher Felix Irresberger |
| |
| Affiliation: | 1. Ruhr-Universit?t Bochum, Bochum, Germany;2. Technische Universit?t Dortmund, Dortmund, Germany;3. Cardiff University, Cardiff, United Kingdom |
| |
| 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. |
| |
| Keywords: | |
|
|
