Assessing and Modeling Asymmetry in Bivariate Continuous Data

DOI10.1007/978-3-642-35407-6_5MaRDI QIDQ2849526zbMATH OpenOpenAlexFDO

Authors Christian Genest, Johanna Nešlehová

Publication date 20 September 2013

Published in Copulae in Mathematical and Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-35407-6_5

zbMATH Keywords

asymmetric dependencerank based estimatorssymmetric bivariate copulastests of symmetry

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(28)

• Extremal attractors of Liouville copulas
• Some copula inference procedures adapted to the presence of ties
• On multivariate asymmetric dependence using multivariate skew-normal copula-based regression
• \(D_s\)-optimality in copula models
• Non-exchangeability of copulas arising from shock models
• Dependence in a background risk model
• Reflected maxmin copulas and modeling quadrant subindependence
• Constructing copulas from shock models with imprecise distributions
• Relation between non-exchangeability and measures of concordance of copulas
• Shock models with dependence and asymmetric linkages
• Flipping of multivariate aggregation functions
• Construction of asymmetric copulas and its application in two-dimensional reliability modelling
• An order of asymmetry in copulas, and implications for risk management
• Minimum-distance statistics for the selection of an asymmetric copula in Khoudraji's class of models
• Asymmetries in structure factor histograms
• On tests of radial symmetry for bivariate copulas
• Best-possible bounds on the set of copulas with given degree of non-exchangeability
• Copula diagnostics for asymmetries and conditional dependence
• A method for constructing asymmetric pair-copula and its application
• Asymmetric copulas and their application in design of experiments
• Testing asymmetry in dependence with copula-coskewness
• A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
• Modeling currency exchange data with asymmetric copula functions
• Exact upper bound for copulas with a given diagonal section
• On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
• Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
• Estimating scale-invariant directed dependence of bivariate distributions
• Bivariate copulas, norms and non-exchangeability

Describes a project that uses

Uses Software

• QRM
• nacopula

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