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Title:A new class of copulas with tail dependence and a generalized tail dependence estimator PDF Logo
Authors:Fischer, Matthias J.
Hinzmann, Gerd
Issue Date:2006
Series/Report no.:Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 77/2006
Abstract:We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized tail dependence estimator are derived. Finally, a small simulation study is conducted.
Subjects:Geometric mean
arithmetic mean
copula
tail dependence
Document Type:Working Paper
Appears in Collections:Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg

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