mixture copulas. We distinguish between the strength of dependence as determined by the parameter(s) of a given copula, and …This paper proposes a novel flexible approach to modelling time variation in asset return dependence by means of … the structure of dependence as determined by the copula specification. The suggested time-varying mixture copula allows …

In this study we propose the use of the Student's t dependence function to model dependence between asset returns when … necessary, specifying the marginal distributions and their dependence. Traditionally, dependence is described by a correlation … matrix, implying the use of the dependence function inherent in the multivariate normal (Gaussian) distribution. Recent …