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 …

representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …