@techreport{Klein2011Weighted,
abstract = {It is well known that the arithmetic mean of two possibly different copulas forms a copula, again. More general, we focus on the weighted power mean (WPM) of two arbitrary copulas which is not necessary a copula again, as different counterexamples reveal. However, various conditions regarding the mean function and the underlying copula are given which guarantee that a proper copula (so-called WPM copula) results. In this case, we also derive dependence properties of WPM copulas and give some brief application to financial return series.},
address = {Erlangen},
author = {Ingo Klein and Matthias J. Fischer and Thomas Pleier},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330; Copulas; generalized power mean; max id; left tail decreasing; tail dependence},
language = {eng},
number = {01/2011},
publisher = {Univ., Inst. f\"{u}r Wirtschaftspolitik und Quantitative Wirtschaftsforschung},
title = {Weighted power mean copulas: Theory and application},
type = {IWQW discussion paper series},
url = {http://hdl.handle.net/10419/50916},
year = {2011}
}
