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.

MoreLess

Year of publication:	2006
Authors:	Fischer, Matthias J. ; Hinzmann, Gerd
Publisher:	Nürnberg : Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
Subject:	Geometric mean \| arithmetic mean \| copula \| tail dependence

More details

Series:	Diskussionspapier ; 77/2006
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	614057248 [GVK] hdl:10419/29568 [Handle] RePEc:zbw:faucse:772006 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010299766