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Table 6 The estimated copula dependence parameters for Gaussian, Student-t, Gumbel, Clayton, and Frank copula models

From: Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis

Daily Gaussian Student-t Gumbel Clayton Frank
ORI-OVX −0.006 −0.006 − 0.011 −0.015 − 0.147
ORI-OPEC 0.003 0.003 0.012 1.001 0.087
ORI-TPI 0.583 0.575 1.609 0.968 4.007
PET-OVX −0.002 −0.002 −1.000 0.0006 −0.013
PET-OPEC 0.007 0.007 1.002 −0.026 0.038
PET-TPI 0.639 0.631 1.783 1.228 4.756
ODR-OVX −0.023 −0.023 −1.015 −0.031 − 0.196
ODR-OPEC −0.048 − 0.045 −1.036 −0.076 − 0.252
ODR-TPI 0.401 0.408 1.358 0.583 2.643
Monthly Gaussian Student-t Gumbel Clayton Frank
ORI-GPR 0.547 0.576 0.978 1.609 4.454
ORI-EPU 0.203 0.203 0.226 1.138 0.963
PET-GPR 0.607 0.613 1.676 1.024 5.007
PET-EPU 0.342 0.339 1.238 0.437 1.931
ODR-GPR 0.459 0.464 1.434 0.745 3.463
ODR-EPU 0.218 0.176 1.171 0.306 1.186