Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29568
Authors: 
Fischer, Matthias J.
Hinzmann, Gerd
Year of Publication: 
2006
Series/Report no.: 
Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 77/2006
Abstract: 
We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized tail dependence estimator are derived. Finally, a small simulation study is conducted.
Subjects: 
Geometric mean
arithmetic mean
copula
tail dependence
Document Type: 
Working Paper

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