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dc.contributor.authorKlein, Ingoen_US
dc.contributor.authorChrista, Florianen_US
dc.date.accessioned2011-02-10en_US
dc.date.accessioned2011-03-03T09:09:53Z-
dc.date.available2011-03-03T09:09:53Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/44400-
dc.description.abstractWe will identify sufficient and partly necessary conditions for a family of copulas to be closed under the construction of generalized linear mean values. These families of copulas generalize results well-known from the literature for the Farlie-Gumbel-Morgenstern (FGM), the Ali-Mikhai-Haq (AMH) and the Barnett-Gumbel (BG) families of copulas closed under weighted linear, harmonic and geometric mean. For these generalizations we calculate the range of Spearman's ρ depending on the choice of weights α, the copulas generation function φ and the exponent γ determining what kind of mean value will be considered. It seems that FGM and AMH generating function φ(υ) = 1 - υ maximizes the range of Spearman's ρ. Furthermore, it will be shown that the considered families of copulas closed under the construction of generalized linear means have no tail dependence in the sense of Ledford & Tawn.en_US
dc.language.isoengen_US
dc.publisherUniv., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung Erlangenen_US
dc.relation.ispartofseriesIWQW discussion paper series 04/2011en_US
dc.subject.jelF22en_US
dc.subject.jelJ31en_US
dc.subject.jelJ61en_US
dc.subject.ddc330en_US
dc.subject.keywordcopulaen_US
dc.subject.keywordgeneralized linear meansen_US
dc.subject.keywordSpearman's ρen_US
dc.subject.keywordtail dependenceen_US
dc.titleFamilies of copulas closed under the construction of generalized linear meansen_US
dc.typeWorking Paperen_US
dc.identifier.ppn646143786en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:iwqwdp:042011-
Appears in Collections:IWQW Discussion Paper Series, FAU Erlangen-Nürnberg

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