Relation between non-exchangeability and measures of concordance of copulas

@inproceedings{Bukovvsek2019RelationBN,
  title={Relation between non-exchangeability and measures of concordance of copulas},
  author={Damjana Kokol Bukovvsek and T. Kovsir and Blavz Mojvskerc and M. Omladivc},
  year={2019}
}
An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Spearman's footrule, Gini's gamma, and Blomqvist's beta) relate to non-exchangeability, i.e., asymmetry on copulas. Besides these results, the method proposed also seems to be new and may serve as a raw model for exploration of the relationship between a specific property of a copula and some of its measures of dependence structure, or perhaps the… Expand
3 Citations

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