that the returns are not normal. Copula models and models for non-normal multivariate distributions provide new tools to … models for returns and copula functions. The copula function models provide an effective and interesting technique of … multivariate distribution with a help of corresponding marginal distributions and a selected copula function. In this work we …

), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation … strategies. The novel vine copula captures the complex dependence patterns and tail dynamics. The APARCH DCC incorporates … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into …