dynamic conditional correlation model (DCC) to multivariate elliptical copulas. The most suitable dynamic dependence model in …This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic …. We enhance the exibility of this structure by modeling regimes with multivariate mixture copulas and by applying the …

is a measure of positive dependence through variance of the aggregate risk. During gross loss accumulation, the marginals …

systemwide quantifications. The network defined by the tail dependence matrix is preferable to that defined by the Pearson … correlation matrix since it confirms that the identified central SIFI through it severely impacts the system. This study …