is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange … rate portfolio, copulae with time varying parameters are estimated and the VaR simulated accordingly. Backtesting … underlines the improved performance of time varying copulae. …