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Weighted power mean copulas: Theory and application


  • Klein, Ingo
  • Fischer, Matthias J.
  • Pleier, Thomas


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.

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  • Klein, Ingo & Fischer, Matthias J. & Pleier, Thomas, 2011. "Weighted power mean copulas: Theory and application," FAU Discussion Papers in Economics 01/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  • Handle: RePEc:zbw:iwqwdp:012011

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    References listed on IDEAS

    1. Matthias Fischer & Christian Kock & Stephan Schluter & Florian Weigert, 2009. "An empirical analysis of multivariate copula models," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 839-854.
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    Cited by:

    1. Klein, Ingo & Christa, Florian, 2011. "Families of copulas closed under the construction of generalized linear means," FAU Discussion Papers in Economics 04/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    2. Schnitzlein, Daniel D., 2012. "How important is cultural background for the level of intergenerational mobility?," Economics Letters, Elsevier, vol. 114(3), pages 335-337.

    More about this item


    Copulas; generalized power mean; max id; left tail decreasing; tail dependence;

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