A new class of copulas with tail dependence and a generalized tail dependence estimator

We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized tail dependence estimator are derived. Finally, a small simulation study is conducted.

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Year of publication:	2006
Authors:	Fischer, Matthias J. ; Hinzmann, Gerd
Institutions:	Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
Subject:	Geometric mean \| arithmetic mean \| copula \| tail dependence

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 77/2006
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008493558