What is "coskewness"

In probability theory and statistics, coskewness is a measure of how much two random variables change together. Coskewness is the third standardized cross central moment, related to skewness as covariance is related to variance. In 1976, Krauss and Litzenberger used it to examine risk in stock market investments. The application to risk was extended by Harvey and Siddique in 2000.

If two random variables exhibit positive coskewness they will tend to undergo extreme positive deviations at the same time. Similarly, if two random variables exhibit negative coskewness they will tend to undergo extreme negative deviations at the same time.