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

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  • Fischer, Matthias J.
  • Hinzmann, Gerd

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.

Suggested Citation

  • Fischer, Matthias J. & Hinzmann, Gerd, 2006. "A new class of copulas with tail dependence and a generalized tail dependence estimator," Discussion Papers 77/2006, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    • Handle: RePEc:zbw:faucse:772006
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    References listed on IDEAS

    as
    1. Fischer, Matthias J. & Dörflinger, Marco, 2006. "A note on a non-parametric tail dependence estimator," Discussion Papers 76/2006, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    2. Jadran Dobric & Friedrich Schmid, 2005. "Nonparametric estimation of the lower tail dependence λL in bivariate copulas," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(4), pages 387-407.
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