Article ID Journal Published Year Pages File Type
5076350 Insurance: Mathematics and Economics 2016 7 Pages PDF
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
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