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  • 标题:Multivariate Reflection Symmetry of Copula Functions.
  • 本地全文:下载
  • 作者:Monica Billio ; Lorenzo Frattarolo ; Dominique Guégan.
  • 期刊名称:Documents de Travail du Centre d'Economie de la Sorbonne
  • 印刷版ISSN:1955-611X
  • 出版年度:2017
  • 出版社:Centre d'Economie de la Sorbonne
  • 摘要:We propose a multivariate nonparametric copula test of reection sym-metry. The test is valid in any number of dimensions, extending previousresults that cover the bivariate case. Furthermore, the asymptotic theoryfor the test relies on recent results on the dependent multiplier bootstrap,valid for sub-exponentially strongly mixing data. Consequently to theintroduction of those two features, the procedure is suitable for nancialtime series whose asymmetric dependence, in distressed periods, has al-ready been documented elsewhere. We conduct an extensive simulationstudy of empirical size and power and provide several examples of appli-cations. In particular, we investigate the use of the statistic as a nancialstress indicator by comparing it with the CISS , the leading ECB indica-tor.
  • 关键词:Dependence Asymmetry; Copula; Re;ection Symmetry; Radial;Symmetry; Empirical Process; Dependent Multiplier Bootstrap; Financial Stress
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