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|Title:||Weighted power mean copulas: Theory and application |
Fischer, Matthias J.
|Issue Date:||2011 |
|Series/Report no.:||IWQW discussion paper series 01/2011|
|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.|
generalized power mean
left tail decreasing
|Document Type:||Working Paper|
|Appears in Collections:||IWQW Discussion Paper Series, FAU Erlangen-Nürnberg|
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