The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and extreme volatility. While it is difficult to assess an intrinsic value to a specific cryptocurrency, one can employ recently proposed bubble tests that rely on recursive applications of classical unit...

Modeling the joint tails of multiple nancial time series has important implications for risk management. Classical models for dependence often encounter a lack of t in the joint tails, calling for additional exibility. In this paper we introduce a new nonparametric time-varying mixture copula...

A copula model with flexibly specified dependence structure can be useful to capture the complexity and heterogeneity in economic and financial time series. However, there exists little methodological guidance for the specification process using copulas. This paper contributes to fill this gap...