An order of asymmetry in copulas, and implications for risk management

DOI10.1016/J.INSMATHECO.2016.03.008MaRDI QIDQ320313zbMATH OpenOpenAlexFDO

Authors Karl Friedrich Siburg, Katharina Stehling, Pavel A. Stoimenov, 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

zbMATH Keywords

asymmetrycopulaexchangeabilitydiversificationdependence modeling

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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

Cites work

• A goodness-of-fit test for bivariate extreme-value copulas
• A non-parametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
• An introduction to copulas.
• Assessing and Modeling Asymmetry in Bivariate Continuous Data
• Construction of asymmetric copulas and its application in two-dimensional reliability modelling
• Erratum to ``Construction of asymmetric multivariate copulas
• Extremes of nonexchangeability
• From Archimedean to Liouville copulas
• Gluing copulas
• How non-symmetric can a copula be?
• On Bayesian Modeling of Fat Tails and Skewness
• Rectangular Patchwork for Bivariate Copulas and Tail Dependence
• Tests of symmetry for bivariate copulas
• The t Copula and Related Copulas

Cited in

(14)

• New asymmetric perturbations of FGM bivariate copulas and concordance preserving problems
• A functional treatment of asymmetric copulas
• Copula-based measures of asymmetry between the lower and upper tail probabilities
• On degrees of asymmetry of a copula with respect to a track
• Characterizing the asymmetric dependence premium
• On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
• Comparing and quantifying tail dependence
• Testing asymmetry in dependence with copula-coskewness
• Analysis of asymmetric financial data with directional dependence measures
• Why Clayton and Gumbel Copulas: A Symmetry-Based Explanation
• Measures of tail asymmetry for bivariate copulas
• Modeling currency exchange data with asymmetric copula functions
• The shifting dependence dynamics between the G7 stock markets
• 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)