Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/50916 
Year of Publication: 
2011
Series/Report no.: 
IWQW Discussion Papers No. 01/2011
Version Description: 
This version: October 2011
Publisher: 
Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Nürnberg
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
Document Type: 
Working Paper

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