One of the major points of contention in studying and modeling financial returns is whether or not the variance of the returns is finite or infinite (sometimes referred to as the Bachelier-Samuelson Gaussian world versus the Mandelbrot stable world). A different formulation of the question asks...

Despite an extensive body of research, the best way to model the dependence of exchange rates remains an open question. In this paper we present a new approach which employs a flexible time-varying copula model. It allows the conditional correlation between exchange rates to be both time-varying...