From: The linkage between Bitcoin and foreign exchanges in developed and emerging markets
Tree | Edge | Copula | Copula parameters | Kendall’s \(\tau\) | Tail dependence | ||
---|---|---|---|---|---|---|---|
\(\theta\) (\(\rho\) for t or \({\mathcal {N}}\)) | \(\delta\) (\(\nu\) for t) | \(\lambda _U\) | \(\lambda _L\) | ||||
\(T_1\) | 2,1 | \({\mathcal {F}}\) | 0.29 (0.10)*** | – | 0.03 | 0 | 0 |
2,4 | t | 0.15 (0.02)*** | 3.72 (0.30)*** | 0.10 | 0.12 | 0.12 | |
3,2 | t | 0.45 (0.02)*** | 2.09 (0.10)*** | 0.30 | 0.36 | 0.36 | |
5,3 | t | 0.46 (0.02)*** | 2.03 (0.09)*** | 0.30 | 0.37 | 0.37 | |
\(T_2\) | 4,1 | 2 | t | 0.04 (0.02)** | 20.9 (7.11)*** | 0.03 | 0.00 | 0.00 |
3,4 | 2 | t | 0.09 (0.02)*** | 7.36 (1.03)*** | 0.06 | 0.03 | 0.03 | |
5,2 | 3 | t | − 0.04 (0.02)** | 2.68 (0.15)*** | − 0.03 | 0.12 | 0.12 | |
\(T_3\) | 3,1 | 4,2 | \({\mathcal {J}}^{180}\) | 1.02 (0.01)*** | – | 0.01 | 0 | 0.03 |
5,4 | 3,2 | t | − 0.01 (0.02) | 13.4 (2.91)*** | − 0.01 | 0.00 | 0.00 | |
\(T_4\) | 5,1 | 3,4,2 | t | − 0.01 (0.02) | 27.8 (10.1)*** | − 0.01 | 0 | 0 |