Publications

Authors:

Frattarolo, Lorenzo

Title:

Testing for Constant Central Asymmetry Between Two Copulas

Year:

2025

Type of item:

Contributo in volume (Capitolo o Saggio)

Tipologia ANVUR:

Contributo in volume (Capitolo o Saggio)

Language:

Inglese

Format:

A Stampa

Book Title:

Supervised and Unsupervised Statistical Data Analysis

Publisher:

Springer Nature Switzerland

ISBN:

978-3-032-03042-9

Page numbers:

172-179

Keyword:

Two-Sample Test, Dependence Asymmetry, Radial Symmetry, Reflection Symmetry

Short description of contents:

We develop a test of constant central asymmetry between two copulas estimated through their empirical counterpart. We provide inference under standard assumptions for stationary time series. The tie-break bootstrap is used for calculating p-values of the proposed Cram{\'e}r--von Mises test statistic. Finite sample properties are assessed with Monte Carlo experiments. We apply the testing procedure to the US portfolio industry returns during the subprime crisis.

Product ID:

147282

Handle IRIS:

11562/1169987

Last Modified:

September 11, 2025

Bibliographic citation:

Frattarolo, Lorenzo, Testing for Constant Central Asymmetry Between Two Copulas Supervised and Unsupervised Statistical Data Analysis , Springer Nature Switzerland , 2025 , pp. 172-179

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