. Notwithstanding this, the asymmetric tail dependence copulas provide evidence of upper tail dependence. We compare the copula results … to DCC(1,1)-GARCH(1,1) model result and find the copula to be more sensitive to extreme co-movement between the currency …

countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant … dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We … at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil …