An order of asymmetry in copulas, and implications for risk management
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Publication:320313
DOI10.1016/j.insmatheco.2016.03.008zbMath1373.62231OpenAlexW2282291503MaRDI QIDQ320313
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Functional treatment of asymmetric copulas ⋮ The shifting dependence dynamics between the G7 stock markets ⋮ Testing Asymmetry in Dependence with Copula-Coskewness
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