Copula-based measures of reflection and permutation asymmetry and statistical tests
Stating first desirable properties for indicators of asymmetry, measures of reflection and permutation asymmetry are proposed for copula functions. These measure are used then as a tool for selecting appropriate linking copulas in case of data with positive quadrant dependence. After the definition of measures of reflection asymmetry, also measures of permutation asymmetry for bivariate data are given. Statistical tests based on the proposed measures of asymmetry are presented. Applications to the analysis of an empirical data set from finance are given.
scientific article; zbMATH DE number 6818221