Understanding dependence between equity and currency returns is particularly important at international financial markets. Although research aimed at specifying dependencies between different equity returns or between different exchange rates is relatively enough, so the issue on currency and equity returns has not yet been a major centerpiece research interests. It is this fact that is the main motive for studying the structure of dependence on international financial markets. This paper presents evidence of time variable or dynamic and asymmetric dependence between the observed returns. In order to take into account this dependency structure, an asymmetric dynamic student cupola is proposed. Empirically, it is demonstrated that using this dcupola makes risk management more robust, that is in terms of optimal allocation of assets on international financial markets.