Measures of tail asymmetry for bivariate copulas

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  1. Department of Statistics
  2. Measures of tail asymmetry for bivariate copulas

Measures of tail asymmetry for bivariate copulas

TitleMeasures of tail asymmetry for bivariate copulas
Publication TypeJournal Article
Year of Publication2013
AuthorsRosco, JF, Joe, H
JournalStatistical Papers
Volume54
Pagination709-726
Date PublishedAUG
Type of ArticleArticle
ISSN0932-5026
KeywordsQuantiles, Survival copula, Tail dependence, Univariate skewness
AbstractThree tail asymmetry measures for bivariate copulas are introduced using two different approaches-univariate skewness of a projection and distance between a copula and its survival/reflected copula. We compare the asymmetry measures based on certain desirable properties. Bounds for each measure are obtained and also copulas which attain these extreme values are identified. Two data examples show the amount of asymmetry that might be expected in practice.
DOI10.1007/s00362-012-0457-y