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Testing asymmetry in dependence with Copula-coskewness. (English) Zbl 07059866

Summary: 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.

MSC:

91-XX Game theory, economics, finance, and other social and behavioral sciences
62-XX Statistics

Software:

copula ; copula
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