Wir haben hinreichende und teils notwendige Bedingungen identifiziert, so dass eine Familie von Aggregationsfunktionen, die abgeschlossen gegenüber der Bildung gewichteter Potenzmittelwerte ist, eine Familie von Copulas darstellt. Diese Copulafamilien verallgemeinern Resultate, die in der...

There are several procedures to construct a skewed distribution. One of these procedures is based on a symmetric distribution that will be distorted by a skewed distribution defined on (0; 1). This proposal stems from Arellano-Valle et al. and was refined by Ferreira & Steel. Up to now, it is an...

J.M. Keynes (1911) shows how distributions look like for which the arithmetic, the geometric and the harmonic mean are "most probable values". We propose a general class of distributions for which the quasi-arithmetic means are ML-estimators such that these distributions can be transformed into...

There are several procedures to construct a skewed distribution. One of these procedures splits the value of a parameter of scale for the two halfs of a symmetric distribution. Fechner proposed this procedure in his famous book "Kollektivmaßlehre (1897), p. 295ff.". A similar proposal comes...

Keynes (1911) derived general forms of probability density functions for which the “most probable value” is given by the arithmetic mean, the geometric mean, the harmonic mean, or the median. His approach was based on indirect (i.e., posterior) distributions and used a constant prior...

The serial dependency of multivariate financial data will often be filtered by considering the residuals of univariate GARCH models adapted to every single series. This is the correct filtering strategy if the multivariate process follows a so-called copula based multivariate dynamic model...

The H−family of distributions or H−distributions, introduced by Tukey (1960, 1977), are generated by a single transformation of the standard normal distribution and allow for leptokurtosis represented by the parameter h. Alternatively, Haynes, MacGillivray and Mengersen (1997) generated...