We propose the use of convex combinations of parametric copulas as pair-copulas in high-dimensional vine copula models. By doing so, we circumvent the error-prone need to choose and estimate a parametric copula for each pair-copula in a vine model. We show in simulations that our proposed model...

Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dynamic (SCOMDY) models. A SCOMDY model specifies the conditional mean and the conditional variance of a multivariate time series parametrically (such as VAR, GARCH), but specifies the multivariate...

Two important issues in the analysis of association among financial markets are the degree of dependence and the underlying shape commanding the cross-market dependencies, so that any model used to describe this association must cope with both the issues. In the study presented in this article,...