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We propose a multidimensional extension for Patton’s (2006) bi-variate Dynamic Copulas. We also introduce a Dynamic Mixture Copula whose parameters and weights follow well defined dynamic processes. Both approaches improve the Copulas’ flexibilities and their adaptabilities to financial...
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We propose a multidimensional extension for Patton's (2006) bivariate Dynamic Copulas. We also introduce a Dynamic Mixture Copula whose parameters and weights follow well defined dynamic processes. Both approaches are more flexible to adapt to financial data than currently available Copula...
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