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
AbstractWe develop a test of equality between two dependence structures estimated through empirical ...
An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for ris...
© Springer International Publishing AG, part of Springer Nature 2018. Financial variables such as as...
A new measure of asymmetry in dependence is proposed that is based on taking the difference between ...
A new measure of asymmetry in dependence is proposed which is based on taking the difference betwee...
We study how to measure and test for differences in dependence for small and large realizations of t...
This paper proposes a new copula-based approach to test for asymme-tries in the dependence structure...
An investigation is presented of how a comprehensive choice of five most important measures of conco...
To examine the asymmetry of financial data in detail, we have considered both the tail dependence wi...
We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US...
Copula modeling has been attracting substantial interest during the last several decades and is beco...
This thesis investigates three topics in theoretical econometrics: goodness-of-fit tests for copulas...
Recent studies in the empirical finance literature have reported evidence of two types of asymmetrie...
This dissertation contributes to the theory and the applications of copulas to problems in economics...
We find new channels for the transmission of shocks in international currencies, by developing a mod...
AbstractWe develop a test of equality between two dependence structures estimated through empirical ...
An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for ris...
© Springer International Publishing AG, part of Springer Nature 2018. Financial variables such as as...
A new measure of asymmetry in dependence is proposed that is based on taking the difference between ...
A new measure of asymmetry in dependence is proposed which is based on taking the difference betwee...
We study how to measure and test for differences in dependence for small and large realizations of t...
This paper proposes a new copula-based approach to test for asymme-tries in the dependence structure...
An investigation is presented of how a comprehensive choice of five most important measures of conco...
To examine the asymmetry of financial data in detail, we have considered both the tail dependence wi...
We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US...
Copula modeling has been attracting substantial interest during the last several decades and is beco...
This thesis investigates three topics in theoretical econometrics: goodness-of-fit tests for copulas...
Recent studies in the empirical finance literature have reported evidence of two types of asymmetrie...
This dissertation contributes to the theory and the applications of copulas to problems in economics...
We find new channels for the transmission of shocks in international currencies, by developing a mod...
AbstractWe develop a test of equality between two dependence structures estimated through empirical ...
An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for ris...
© Springer International Publishing AG, part of Springer Nature 2018. Financial variables such as as...