Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/50916
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dc.contributor.authorKlein, Ingoen_US
dc.contributor.authorFischer, Matthias J.en_US
dc.contributor.authorPleier, Thomasen_US
dc.date.accessioned2011-11-08en_US
dc.date.accessioned2011-11-09T16:08:37Z-
dc.date.available2011-11-09T16:08:37Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/50916-
dc.description.abstractIt 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.en_US
dc.language.isoengen_US
dc.publisher|aUniv., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung |cErlangenen_US
dc.relation.ispartofseries|aIWQW discussion paper series |x01/2011en_US
dc.subject.ddc330en_US
dc.subject.keywordCopulasen_US
dc.subject.keywordgeneralized power meanen_US
dc.subject.keywordmax iden_US
dc.subject.keywordleft tail decreasingen_US
dc.subject.keywordtail dependenceen_US
dc.titleWeighted power mean copulas: Theory and applicationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn671661159en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:iwqwdp:012011-

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