# Does the $t$-copula or Clayton copula capture the dependence structure of empirical returns better?

Which copula captures the dependence structure of empirical asset returns better? the $$t$$-copula, which has symmetric tail dependence, or the Clayton copula, which has asymmetric tail dependence, and why? I've seen conflicting advice.

If they're both competitive to one another, how to mix or generate a compromise between the two?

• Just take a secondd to compare the nature of shocks. What happens more often and what results in stronger market-wide impact, positive shocks or negative ones? It is no accident that it is called "run FOR the door not INTO the door". That said, every use of parametric copula models is fishy ...
– g g
Nov 1 '20 at 19:37
• what is "run FOR the door not INTO the door" Nov 2 '20 at 5:51
• @gg are you saying parametric copula are inadequate for modeling the dependence structure of financial returns? Jan 9 at 7:06