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

descriptionPublicationkeyboard_double_arrow_right Research , Preprint 01 Jan 2006 English Publisher:Nürnberg: Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie

Authors: Fischer, Matthias J.; Hinzmann, Gerd;

handle: 10419/29568

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

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Abstract

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.

Keywords

Geometric mean,arithmetic mean,copula,tail dependence, ddc:330, tail dependence, copula, Geometric mean, arithmetic mean

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