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 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 build a class of copula models that captures time-varying dependence across large panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and generalized hyperbolic ...