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
An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for ris...
In this study, we measure asymmetric negative tail dependence and discuss their statistical properti...
In this study we have examined that assets returns in Indian markets do not follow an elliptical dep...
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 that is based on taking the difference between ...
A new measure of asymmetry in dependence is proposed which is based on taking the difference between...
We study how to measure and test for differences in dependence for small and large realizations of t...
We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US...
This paper proposes a new copula-based approach to test for asymme-tries in the dependence structure...
Recent studies in the empirical finance literature have reported evidence of two types of asymmetrie...
To examine the asymmetry of financial data in detail, we have considered both the tail dependence wi...
We investigate symmetry properties of bivariate copulas. For this, we introduce an order of asymmetr...
International audienceUsing one of the key properties of copulas that they remain invariant under an...
An investigation is presented of how a comprehensive choice of five most important measures of conco...
Copula modeling has been attracting substantial interest during the last several decades and is beco...
An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for ris...
In this study, we measure asymmetric negative tail dependence and discuss their statistical properti...
In this study we have examined that assets returns in Indian markets do not follow an elliptical dep...
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 that is based on taking the difference between ...
A new measure of asymmetry in dependence is proposed which is based on taking the difference between...
We study how to measure and test for differences in dependence for small and large realizations of t...
We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US...
This paper proposes a new copula-based approach to test for asymme-tries in the dependence structure...
Recent studies in the empirical finance literature have reported evidence of two types of asymmetrie...
To examine the asymmetry of financial data in detail, we have considered both the tail dependence wi...
We investigate symmetry properties of bivariate copulas. For this, we introduce an order of asymmetr...
International audienceUsing one of the key properties of copulas that they remain invariant under an...
An investigation is presented of how a comprehensive choice of five most important measures of conco...
Copula modeling has been attracting substantial interest during the last several decades and is beco...
An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for ris...
In this study, we measure asymmetric negative tail dependence and discuss their statistical properti...
In this study we have examined that assets returns in Indian markets do not follow an elliptical dep...
DOI
Add to ORKG