From: The linkage between Bitcoin and foreign exchanges in developed and emerging markets
Tree | Edge | Family | Copula parameters | Kendall’s \(\tau\) | Tail dependence | ||
---|---|---|---|---|---|---|---|
\(\theta\) (\(\rho\) for t or \({\mathcal {N}}\)) | \(\delta\) (\(\nu\) for t) | \(\lambda _U\) | \(\lambda _L\) | ||||
\(T_1\) | 3,1 | t | 0.05 (0.02)** | 18.0 (5.72)*** | 0.03 | 0.00 | 0.00 |
2,4 | t | 0.25 (0.02)*** | 2.69 (0.16)*** | 0.16 | 0.22 | 0.22 | |
3,2 | t | 0.05 (0.02)** | 6.33 (0.84)*** | 0.03 | 0.04 | 0.04 | |
3,5 | t | 0.31 (0.02)*** | 3.15 (0.19)*** | 0.20 | 0.21 | 0.21 | |
6,3 | t | 0.44 (0.02)*** | 2.35 (0.12)*** | 0.29 | 0.33 | 0.33 | |
\(T_2\) | 5,1 | 3 | BB7180 | 1.01 (0.01)*** | 0.05 (0.02)** | 0.03 | 0.00 | 0.02 |
3,4 | 2 | t | 0.02 (0.02) | 9.55 (1.59)*** | 0.02 | 0.01 | 0.01 | |
5,2 | 3 | t | 0.03 (0.02) | 8.43 (1.26)*** | 0.02 | 0.01 | 0.01 | |
6,5 | 3 | t | 0.24 (0.02)*** | 3.31 (0.22)*** | 0.15 | 0.17 | 0.17 | |
\(T_3\) | 2,1 | 5,3 | t | 0.02 (0.02) | 17.8 (5.60)*** | 0.01 | 0.00 | 0.00 |
5,4 | 3,2 | t | 0.02 (0.02) | 24.4 (8.87)*** | 0.01 | 0.00 | 0.00 | |
6,2 | 5,3 | t | − 0.04 (0.02)** | 19.9 (6.65)*** | − 0.03 | 0.00 | 0.00 | |
\(T_4\) | 4,1 | 2,5,3 | t | 0.02 (0.02) | 23.5 (8.32)*** | 0.01 | 0.00 | 0.00 |
6,4 | 5,3,2 | t | -0.06 (0.02)*** | 19.7 (5.88)*** | − 0.04 | 0.00 | 0.00 | |
\(T_5\) | 6,1 | 4,2,5,3 | \({\mathcal {I}}\) | – | – | 0.00 | 0 | 0 |