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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.
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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