Coskewness under dependence uncertainty
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DOI: 10.1016/j.spl.2023.109853
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- Carole Bernard & Jinghui Chen & Ludger Ruschendorf & Steven Vanduffel, 2023. "Coskewness under dependence uncertainty," Papers 2303.17266, arXiv.org.
References listed on IDEAS
- Bignozzi, Valeria & Puccetti, Giovanni, 2015. "Studying mixability with supermodular aggregating functions," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 48-55.
- Wang, Bin & Wang, Ruodu, 2015. "Extreme negative dependence and risk aggregation," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 12-25.
- Roger Nelsen & Manuel Úbeda-Flores, 2012. "Directional dependence in multivariate distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(3), pages 677-685, June.
- Wang, Bin & Wang, Ruodu, 2011. "The complete mixability and convex minimization problems with monotone marginal densities," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1344-1360, November.
- Rüschendorf, Ludger & Uckelmann, Ludger, 2002. "On the n-Coupling Problem," Journal of Multivariate Analysis, Elsevier, vol. 81(2), pages 242-258, May.
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Keywords
Expected product; Higher-order moments; Copula; Coskewness; Risk bounds;All these keywords.
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