Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/44401
Title: 

Weighted power mean copulas: Theory and application

Authors: 
Klein, Ingo
Fischer, Matthias J.
Pleier, Thomas
Year of Publication: 
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.
Subjects: 
copulas
generalized power mean
max id
left tail decreasing
tail dependence
Is replaced by the following version: 
Document Type: 
Working Paper

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