A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11009-021-09925-y.pdf
Reference23 articles.
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3. Bernhart G, Escobar Anel M, Mai JF, Scherer M (2013) Default models based on scale mixtures of Marshall-Olkin Copulas: properties and applications. Metrika 76(2):179–203
4. Charpentier A, Fougeres A-L, Genest C, Nešlehová JG (2014) Multivariate Archimax copulas. J Multivar Anal 126:118–136
5. Elouerkhaoui Y (2007) Pricing and hedging in a dynamic credit model. Int J Theo Appl Fin 10(4):703–731
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