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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Universität Erlangen-Nürnberg >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/50916
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Klein, Ingo | | en_US |
| dc.contributor.author | | Fischer, Matthias J. | | en_US |
| dc.contributor.author | | Pleier, Thomas | | en_US |
| dc.date.accessioned | | 2011-11-08 | | en_US |
| dc.date.accessioned | | 2011-11-09T16:08:37Z | | - |
| dc.date.available | | 2011-11-09T16:08:37Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/50916 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung Erlangen | | en_US |
| dc.relation.ispartofseries | | IWQW discussion paper series 01/2011 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Copulas | | en_US |
| dc.subject.keyword | | generalized power mean | | en_US |
| dc.subject.keyword | | max id | | en_US |
| dc.subject.keyword | | left tail decreasing | | en_US |
| dc.subject.keyword | | tail dependence | | en_US |
| dc.title | | Weighted power mean copulas: Theory and application | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 671661159 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:iwqwdp:012011 | | - |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
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