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 …

. In this paper, we aimed to find its analytic formulas by considering multivariate copulas, which allow for the separation … of margins and dependence structures in modeling the returns of the aforementioned assets. Compared to multivariate …

distances of tail copulas. In this way, tail regions that cause differences in extreme dependence can be located and … dependence of bivariate extreme returns. We decompose the testing problem into piecewise multiple comparisons of Cramér-von Mises … the presence of non-standard tail dependence structures. We also find evidence for diminishing tail asymmetries during …