I am a PhD student and would like to get a mixture real data that may exhibit upper and lower tails dependencies along with other dependencies structure. I am working on a pair-copula models.
These models mean that, if we have a multivariate data, then we can build an acyclic tree where only two variables are modelled at a time. These models help to model non-normal dependence structures.
I would like to have a multivariate data that exhibit mixture dependencies between each variables and hope these dependencies including tail dependencies. Most of this data can be financial.