The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI-GARCH model

► The asymmetric dependence is captured by Mixture copula-based ARJI-GARCH model. ► The individual behavior of each market is modeled by the ARJI-GARCH process. ► The asymmetric dependence is captured by the Mixture copula. ► The upper tail dependence is slightly weaker than the lower tail dependence.