An order of asymmetry in copulas, and implications for risk management
DOI10.1016/J.INSMATHECO.2016.03.008zbMATH Open1373.62231OpenAlexW2282291503MaRDI QIDQ320313FDOQ320313
Katharina Stehling, Pavel A. Stoimenov, Karl Friedrich Siburg, Gregor N. F. Weiß
Publication date: 6 October 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/31165
Recommendations
- Copula-based measures of reflection and permutation asymmetry and statistical tests
- Testing asymmetry in dependence with copula-coskewness
- Measures of tail asymmetry for bivariate copulas
- A functional treatment of asymmetric copulas
- Copula-based measures of asymmetry between the lower and upper tail probabilities
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- On Bayesian Modeling of Fat Tails and Skewness
- An introduction to copulas.
- The t Copula and Related Copulas
- Extremes of nonexchangeability
- Assessing and Modeling Asymmetry in Bivariate Continuous Data
- From Archimedean to Liouville copulas
- A goodness-of-fit test for bivariate extreme-value copulas
- Tests of symmetry for bivariate copulas
- How non-symmetric can a copula be?
- Gluing Copulas
- Construction of asymmetric copulas and its application in two-dimensional reliability modelling
- Rectangular Patchwork for Bivariate Copulas and Tail Dependence
- A non-parametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
- Erratum to ``Construction of asymmetric multivariate copulas
Cited In (9)
- New asymmetric perturbations of FGM bivariate copulas and concordance preserving problems
- Testing Asymmetry in Dependence with Copula-Coskewness
- Copula-based measures of asymmetry between the lower and upper tail probabilities
- Comparing and quantifying tail dependence
- Why Clayton and Gumbel Copulas: A Symmetry-Based Explanation
- Modeling currency exchange data with asymmetric copula functions
- The shifting dependence dynamics between the G7 stock markets
- Functional treatment of asymmetric copulas
- Symmetry properties and asymmetry evaluation of Bayesian confirmation measures
This page was built for publication: An order of asymmetry in copulas, and implications for risk management
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q320313)
