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https://hdl.handle.net/10419/50916
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Klein, Ingo | en |
dc.contributor.author | Fischer, Matthias J. | en |
dc.contributor.author | Pleier, Thomas | en |
dc.date.accessioned | 2011-11-08 | - |
dc.date.accessioned | 2011-11-09T16:08:37Z | - |
dc.date.available | 2011-11-09T16:08:37Z | - |
dc.date.issued | 2011 | - |
dc.identifier.uri | http://hdl.handle.net/10419/50916 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aFriedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |cNürnberg | en |
dc.relation.ispartofseries | |aIWQW Discussion Papers |x01/2011 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Copulas | en |
dc.subject.keyword | generalized power mean | en |
dc.subject.keyword | max id | en |
dc.subject.keyword | left tail decreasing | en |
dc.subject.keyword | tail dependence | en |
dc.title | Weighted power mean copulas: Theory and application | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 671661159 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:iwqwdp:012011 | en |
dc.description.version | This version: October 2011 | en |
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