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Weighted power mean copulas: Theory and application

Klein, Ingo
Fischer, Matthias J.
Pleier, Thomas
Year of Publication: 
Series/Report no.: 
IWQW discussion paper series 01/2011
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.
generalized power mean
max id
left tail decreasing
tail dependence
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Document Type: 
Working Paper

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