Testing Asymmetry in Dependence with Copula-Coskewness

Bücher, Axel; Irresberger, Felix; Weiß, Gregor N. F.

doi:10.2139/ssrn.2772730

Cited by 2 publications

(2 citation statements)

References 37 publications

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“…Genest and Nešlehová's radial symmetry tests extend earlier contributions of Bouzebda and Cherfi (2012) and Dehgani, Dolati, and Úbeda-Flores (2013). Other tests of copula exchangeability and radial symmetry were proposed by Li and Genton (2013), Quessy and Bahraoui (2013), Bahraoui and Quessy (2017), Bücher, Irresberger, and Weiss (2017), and Krupskii (2017). Beare and Seo (2014) also proposed a test of copula exchangeability, but for the somewhat different case where the copula in question characterizes the serial dependence in a univariate time series.…”

Section: Introductionmentioning

confidence: 53%

Randomization Tests of Copula Symmetry

Beare

Seo

2020

Econom. Theory

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New nonparametric tests of copula exchangeability and radial symmetry are proposed. e novel aspect of the tests is a resampling procedure that exploits group invariance conditions associated with the relevant symmetry hypothesis. ey may be viewed as feasible versions of randomization tests of symmetry, the la er being inapplicable due to the unobservability of margins. Our tests are simple to compute, control size asymptotically, consistently detect arbitrary forms of asymmetry, and do not require the specification of a tuning parameter. Simulations indicate excellent small sample properties compared to existing procedures involving the multiplier bootstrap.

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Section: Introductionmentioning

confidence: 53%

Randomization Tests of Copula Symmetry

Beare

Seo

2020

Econom. Theory

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“…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.…”

Section: Cti and Portfolio Allocationmentioning

confidence: 99%

Telling tales from the tails: High‐dimensional tail interdependence

Polanski

Stoja²,

Windmeijer³

2019

J of Applied Econometrics

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Summary We propose a simple and flexible framework that allows for a comprehensive analysis of tail interdependence in high dimensions. We use co‐exceedances to capture the structure of the dependence in the tails and, relying on the concept of multi‐information, define the coefficient of tail interdependence. Within this framework, we develop statistical tests of (i) independence in the tails, (ii) goodness‐of‐fit of the tail interdependence structure of a hypothesized model with the one observed in the data, and (iii) dependence symmetry between any two tails. We present an analysis of tail interdependence among 250 constituents of the S&P 250 index.

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Testing Asymmetry in Dependence with Copula-Coskewness

Cited by 2 publications

References 37 publications

Randomization Tests of Copula Symmetry

Randomization Tests of Copula Symmetry

Telling tales from the tails: High‐dimensional tail interdependence

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