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dc.contributor.authorKlein, Ingoen
dc.contributor.authorChrista, Florianen
dc.date.accessioned2011-02-10-
dc.date.accessioned2011-03-03T09:09:53Z-
dc.date.available2011-03-03T09:09:53Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/44400-
dc.description.abstractWe will identify sufficient and partly necessary conditions for a family of copulas to be closed under the construction of generalized linear mean values. These families of copulas generalize results well-known from the literature for the Farlie-Gumbel-Morgenstern (FGM), the Ali-Mikhai-Haq (AMH) and the Barnett-Gumbel (BG) families of copulas closed under weighted linear, harmonic and geometric mean. For these generalizations we calculate the range of Spearman's ρ depending on the choice of weights α, the copulas generation function φ and the exponent γ determining what kind of mean value will be considered. It seems that FGM and AMH generating function φ(υ) = 1 - υ maximizes the range of Spearman's ρ. Furthermore, it will be shown that the considered families of copulas closed under the construction of generalized linear means have no tail dependence in the sense of Ledford & Tawn.en
dc.language.isoengen
dc.publisher|aFriedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |cNürnbergen
dc.relation.ispartofseries|aIWQW Discussion Papers |x04/2011en
dc.subject.jelF22en
dc.subject.jelJ31en
dc.subject.jelJ61en
dc.subject.ddc330en
dc.subject.keywordcopulaen
dc.subject.keywordgeneralized linear meansen
dc.subject.keywordSpearman's ρen
dc.subject.keywordtail dependenceen
dc.titleFamilies of copulas closed under the construction of generalized linear means-
dc.type|aWorking Paperen
dc.identifier.ppn646143786en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:iwqwdp:042011en

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