Abstract
The copula function can describe the complex dependence structure between variables comprehensively and flexibly, which makes it widely used in finance. The dynamic development of financial markets causes the correlation between financial variables to change over time. The dynamic dependence structure between variables can be modeled by changing the parameters or type of the copula function. This paper systematically reviews the representative literatures on the application of dynamic copula models in finance, from the development of the dynamic copula model, several commonly used dynamic copula models, and their applications in finance. In the conclusion, we give the summary and further research direction of dynamic copulas.
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