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Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
Bernhart, German
;
Anel, Marcos Escobar
;
Mai, Jan-Frederik
; …
- In:
Metrika
76
(
2013
)
2
,
pp. 179-203
default model exhibits a copula known as
scale
mixture
of
Marshall-Olkin
copulas
and an investigation of the dependence …
Persistent link: https://www.econbiz.de/10010896490
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