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 …

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio … that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting …-of-sample. -- Copula functions ; Forecasting ; Value-At-Risk …

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns … and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from … within-day high-frequency data. Copula parameters are estimated in a method-of-moments type of fashion through Hoeffding …