Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076350 | Insurance: Mathematics and Economics | 2016 | 7 Pages |
Abstract
We study symmetry properties of bivariate copulas. For this, we introduce an order of asymmetry, as well as measures of asymmetry which are monotone in that order. In an empirical study, we illustrate that asymmetric dependence structures do indeed occur in financial market data and discuss its relevance for financial risk management.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Karl Friedrich Siburg, Katharina Stehling, Pavel A. Stoimenov, Gregor N.F. WeiÃ,