A1637
Title: Coskewness under dependence uncertainty
Authors: Carole Bernard - Vrije Universiteit Brussel (Belgium) [presenting]
Jinghui Chen - Toronto (Canada)
Ludger Ruschendorf - University of Freiburg (Germany)
Steven Vanduffel - Vrije Universiteit Brussel (Belgium)
Abstract: The impact of dependence uncertainty on $E(X_1X_2...X_d)$ when $X_i$ has cdf $F_i$ for all $i$ is studied. Under some conditions on the $F_i$, explicit sharp bounds are obtained, and a numerical method is provided to approximate them for arbitrary choices of the $F_i$. The results are applied to assess the impact of dependence uncertainty on coskewness. In this regard, a novel notion of "standardized rank coskewness" is introduced, which is invariant under strictly increasing transformations and takes values in $[1, 1]$.
