Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29623
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dc.contributor.authorFischer, Matthias J.en_US
dc.contributor.authorKlein, Ingoen_US
dc.date.accessioned2009-12-02en_US
dc.date.accessioned2010-01-13T14:06:52Z-
dc.date.available2010-01-13T14:06:52Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/29623-
dc.description.abstractCopulas represent the dependence structure of multivariate distributions in a natural way. In order to generate new copulas from given ones, several proposals found its way into statistical literature. One simple approach is to consider convex-combinations (i.e. weighted arithmetic means) of two or more copulas. Similarly, one might consider weighted geometric means. Consider, for instance, the Spearman copula, defined as the geometric mean of the maximum and the independence copula. In general, it is not known whether weighted geometric means of copulas produce copulas, again. However, applying a recent result of Liebscher (2006), we show that every weighted geometric mean of extreme-value copulas produces again an extreme-value copula. The second contribution of this paper is to calculate extremal dependence measures (e.g. weak and strong tail dependence coe±cients) for (weighted) geometric and arithmetic means of two copulas.en_US
dc.language.isoengen_US
dc.publisher|aUniversität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung |cNürnbergen_US
dc.relation.ispartofseries|aDiskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie |x78/2007en_US
dc.subject.ddc330en_US
dc.subject.keywordTail Dependenceen_US
dc.subject.keywordExtreme-value copulasen_US
dc.subject.keywordarithmetic and geometric meanen_US
dc.subject.stwKopula (Mathematik)en_US
dc.subject.stwExtremwertanalyseen_US
dc.subject.stwMaßzahlen_US
dc.subject.stwTheorieen_US
dc.titleSome results on weak and strong tail dependence coefficients for means of copulasen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn614058171en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:faucse:782007-

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