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Title:Weighted power mean copulas: Theory and application PDF Logo
Authors:Klein, Ingo
Fischer, Matthias J.
Pleier, Thomas
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.
Subjects:Copulas
generalized power mean
max id
left tail decreasing
tail dependence
Document Type:Working Paper
Appears in Collections:IWQW Discussion Paper Series, FAU Erlangen-Nürnberg

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