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Financial Innovation

Table 6 Estimation results of the benchmark models for the entire sample

From: The linkage between Bitcoin and foreign exchanges in developed and emerging markets

 

Multivariate \(t_\nu\) copula

DCC model

 

G7 basket

BRICS basket

G7 basket

BRICS basket

dof

4.83

6.42

–

–

Log-likelihood

1161.6

1069.0

598.9

39.0

AIC

− 2301.2

− 2105.3

− 1191.7

− 72.0

BIC

− 2233.7

− 2007.1

− 1173.3

− 54.0

  1. This table reports the selection criteria of the multivariate \(t_\nu\) copula and the DCC model as benchmarks. The G7 basket includes Bitcoin and G7 currency returns, and the BRICS basket includes Bitcoin and BRICS currency returns. The reported log-likelihoods refer to the dependence structures excluding the marginals
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