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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >
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http://hdl.handle.net/10419/50916
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| Title: | | Weighted power mean copulas: Theory and application  |
| 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 |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
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