Weighted power mean copulas: Theory and application

Ingo Klein, Matthias J. Fischer and Thomas Pleier

No 01/2011, FAU Discussion Papers in Economics from Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics

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.

Keywords: Copulas; generalized power mean; max id; left tail decreasing; tail dependence (search for similar items in EconPapers)
Date: 2011, Revised 2011
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwqwdp:012011

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