Financial Risk Manager Part 1
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A senior analyst is presenting to a group of newly hired junior analysts on the concepts of coskewness and cokurtosis and how they apply to pairs of random variables. The analyst also compares these measures to general skewness and kurtosis. Which of the following statements about coskewness would the senior analyst be correct to make?
A
The coskewness of two variables is unit-free, but is not scale-free.
B
The calculation of coskewness requires the cube of the standard deviation of one variable.
C
Coskewness specifically estimates the strength of the dependence of one variable on the signed extreme values of the other variable.
D
When the direction of one variable is insensitive to the magnitude of the other variable, the coskewness measures are zero.