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Financial Innovation

Table 5 Copulas estimation results for two pairs

From: Forecasting cryptocurrency returns and volume using search engines

Data

Family

Parameter

Log-likelihood

Ï„

SGSV-VLM

Normal

0.070772

0.4721

 

Clayton

0.094742

− 0.6822

0.0857*

Gumbel

1.0821

1.757

 

SGSV-RETURN

Normal

0.13596

1.758

 

Clayton

0.26313

−2.075

0.151***

Gumbel

1.1117

2.354

 
  1. *, **, *** significant at 10%, 5% and 1% levels, respectively
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