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.
- Sprache
-
Englisch
- Erschienen in
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Series: IWQW Discussion Papers ; No. 01/2011
- Klassifikation
-
Wirtschaft
- Thema
-
Copulas
generalized power mean
max id
left tail decreasing
tail dependence
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Klein, Ingo
Fischer, Matthias J.
Pleier, Thomas
- Ereignis
-
Veröffentlichung
- (wer)
-
Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
- (wo)
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Nürnberg
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Klein, Ingo
- Fischer, Matthias J.
- Pleier, Thomas
- Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
Entstanden
- 2011
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