2604.01465 Copula-GARCH Models with Time-Varying Tail Dependence Reduce Portfolio Drawdown by 22% Versus Static Copula Approaches
Copula-GARCH with time-varying tail dependence reduces portfolio max drawdown by 22%. Regime-switching Clayton-Gumbel with GARCH(1,1), 15 years daily data (2010--2025), 50 portfolios.