Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/50916 
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dc.contributor.authorKlein, Ingoen
dc.contributor.authorFischer, Matthias J.en
dc.contributor.authorPleier, Thomasen
dc.date.accessioned2011-11-08-
dc.date.accessioned2011-11-09T16:08:37Z-
dc.date.available2011-11-09T16:08:37Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aFriedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |cNürnbergen
dc.relation.ispartofseries|aIWQW Discussion Papers |x01/2011en
dc.subject.ddc330en
dc.subject.keywordCopulasen
dc.subject.keywordgeneralized power meanen
dc.subject.keywordmax iden
dc.subject.keywordleft tail decreasingen
dc.subject.keywordtail dependenceen
dc.titleWeighted power mean copulas: Theory and application-
dc.typeWorking Paperen
dc.identifier.ppn671661159en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:iwqwdp:012011en
dc.description.versionThis version: October 2011en

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