“…Moreover, a joint distribution that displays such characteristics would also feature asymmetric tail dependence. Indeed, it is this intuition that Bücher, Irresberger, and Weiss () exploit to construct an asymmetric dependence copula function from co‐skewness, which they then use to model data with complex relationships from hydrology and finance. Further, Cerrato, Crosby, Kim, and Zhao () investigate the relationship between higher order co‐moments and the dependence structure of equity portfolios in the USA and UK, and find that co‐skewness is positively associated with tail dependence.…”