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Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications

  • Published:2012-01-21 Issue:2 Volume:76 Page:179-203
  • ISSN:0026-1335
  • Container-title:Metrika
  • language:en
  • Short-container-title:Metrika

Author:

Bernhart German,Escobar Anel Marcos,Mai Jan-Frederik,Scherer Matthias

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Cited by 12 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks;Methodology and Computing in Applied Probability;2022-03-03

2. Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness;The North American Journal of Economics and Finance;2020-11

3. Hierarchical Archimedean Dependence in Common Shock Models;Methodology and Computing in Applied Probability;2020-08-13

4. Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures;Methodology and Computing in Applied Probability;2017-01-30

5. Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution;Springer Proceedings in Mathematics & Statistics;2015
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