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
© 2017 Elsevier Inc. We consider copula modeling of the dependence between two or more random variab...
We propose a new nonparametric test for detecting relevant breaks in copula functions. We assume tha...
An important issue in multivariate statistical modeling is the choice of the appropriate dependence ...
A new measure of asymmetry in dependence is proposed which 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 that 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...
This paper proposes a new copula-based approach to test for asymme-tries in the dependence structure...
To examine the asymmetry of financial data in detail, we have considered both the tail dependence wi...
Copula modeling has become an increasingly popular tool in finance to model assets returns dependenc...
In this study, we measure asymmetric negative tail dependence and discuss their statistical properti...
We apply the models of copulas to find out the pairwise dependence structures among stock return, st...
Based on the asymmetric copula function, this paper analyzes the static and dynamic correlation betw...
This thesis describes tests for specific dependence structures between two random variables, in part...
In this work, we study and develop certain aspects of the analytics of asymmetry for univariate and ...
© 2017 Elsevier Inc. We consider copula modeling of the dependence between two or more random variab...
We propose a new nonparametric test for detecting relevant breaks in copula functions. We assume tha...
An important issue in multivariate statistical modeling is the choice of the appropriate dependence ...
A new measure of asymmetry in dependence is proposed which 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 that 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...
This paper proposes a new copula-based approach to test for asymme-tries in the dependence structure...
To examine the asymmetry of financial data in detail, we have considered both the tail dependence wi...
Copula modeling has become an increasingly popular tool in finance to model assets returns dependenc...
In this study, we measure asymmetric negative tail dependence and discuss their statistical properti...
We apply the models of copulas to find out the pairwise dependence structures among stock return, st...
Based on the asymmetric copula function, this paper analyzes the static and dynamic correlation betw...
This thesis describes tests for specific dependence structures between two random variables, in part...
In this work, we study and develop certain aspects of the analytics of asymmetry for univariate and ...
© 2017 Elsevier Inc. We consider copula modeling of the dependence between two or more random variab...
We propose a new nonparametric test for detecting relevant breaks in copula functions. We assume tha...
An important issue in multivariate statistical modeling is the choice of the appropriate dependence ...
DOI
Add to ORKG