In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...

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...