Arbeitspapier
Weighted power mean copulas: Theory and application
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.
- Language
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Englisch
- Bibliographic citation
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Series: IWQW Discussion Papers ; No. 01/2011
- Classification
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Wirtschaft
- Subject
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Copulas
generalized power mean
max id
left tail decreasing
tail dependence
- Event
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Geistige Schöpfung
- (who)
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Klein, Ingo
Fischer, Matthias J.
Pleier, Thomas
- Event
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Veröffentlichung
- (who)
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Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
- (where)
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Nürnberg
- (when)
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2011
- Handle
- Last update
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2025-03-10T11:44:10+0100
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Klein, Ingo
- Fischer, Matthias J.
- Pleier, Thomas
- Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
Time of origin
- 2011
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Weighted Mean Impact Analysis
Weighted automata, formal power series and weighted logic
Application of copulas as a new geostatistical tool
The blocking technique : weighted mean operators and Hardy's inequality
An exact additive decomposition of the weighted arithmetic mean
The proximal map of the weighted mean absolute error
Gluing copulas
Rüschendorf-Copulas
Gluing copulas
Estimation procedures for exchangeable Marshall copulas with hydrological application
Application of vine copulas to credit portfolio risk modeling
Estimation procedures for exchangeable Marshall copulas with hydrological application
Weighted Mean Impact Analysis
Weighted automata, formal power series and weighted logic
Application of copulas as a new geostatistical tool
The blocking technique : weighted mean operators and Hardy's inequality
An exact additive decomposition of the weighted arithmetic mean
The proximal map of the weighted mean absolute error
Gluing copulas
Rüschendorf-Copulas
Gluing copulas
Estimation procedures for exchangeable Marshall copulas with hydrological application
Application of vine copulas to credit portfolio risk modeling