In this paper, we propose two tests for parametric models belonging to the Archimedean copula family, one for uncensored bivariate data and the other one for right-censored bivariate data. Our test ...
We propose a new archimedean copula model for bivariate survival data that is motivated by Dabrowska's (1988) measure of association. The model can represent negatively correlated or moderately ...
In this paper, we propose a latent variable credit risk model for large loan port- folios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure ...
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