Table 7 Copulae modeling of the log return and three liquidity proxies
From: Relationships among return and liquidity of cryptocurrencies
Crypto pair | Log return | Log Amihud ratio | AR estimator | CS Estimator | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Copula | Ï„ | (lower, upper) | Copula | Ï„ | (lower, upper) | Copula | Ï„ | (lower, upper) | Copula | Ï„ | (lower, upper) | |
BTC-ETH | A3 (180°)1 | 0.620 | (0.699, 0) | A91 | 0.426 | (0, 0) | A91 | 0.391 | (0, 0) | A71 | 0.288 | (0, 0.435) |
BTC-XRP | E24 | 0.073 | (0.009, 0.009) | E22 | 0.128 | (0.034, 0.034) | A43 | 0.091 | (0, 0) | A92 | 0.101 | (0, 0) |
BTC-BNB | A3 (180°)3 | 0.105 | (0.141, 0) | A6 (180°)2 | 0.126 | (0.132, 5.461E−5) | A44 | 0.076 | (0, 0) | E22 | 0.051 | (0.022, 0.022) |
BTC-LTC | A3 (180°)2 | 0.285 | (0.358, 0) | A91 | 0.404 | (0, 0) | A92 | 0.197 | (0, 0) | A81 | 0.259 | (0.001, 0.430) |
BTC-DOGE | A3 (180°)1 | 0.505 | (0.591, 0) | A9 (180°)3 | 0.102 | (0, 0) | A25 | 0.047 | (0.001, 0) | A43 | 0.099 | (0, 0) |
ETH-XRP | A3 (180°)2 | 0.174 | (0.228, 0) | A43 | 0.112 | (0, 0) | E22 | 0.141 | (0.034, 0.034) | A33 | 0.055 | (0, 0.074) |
ETH-BNB | A7 (180°)1 | 0.566 | (0.681, 0) | A71 | 0.369 | (0, 0.543) | A31 | 0.335 | (0, 0.414) | A31 | 0.223 | (0, 0.286) |
ETH-LTC | A3 (180°)1 | 0.615 | (0.694, 0) | A6 (180°)2 | 0.208 | (0.129, 0.110) | A31 | 0.396 | (0, 0.480) | A32 | 0.098 | (0, 0.131) |
ETH-DOGE | E22 | 0.181 | (0.059, 0.059) | A44 | 0.131 | (0, 0) | A92 | 0.137 | (0, 0) | A32 | 0.110 | (0, 0.147) |
XRP-BNB | E23 | 0.115 | (0.009, 0.009) | E24 | 0.104 | (0.001, 0.001) | E13 | 0.099 | (0, 0) | A34 | 0.066 | (0, 0.090) |
XRP-LTC | A3 (180°)1 | 0.581 | (0.663, 0) | A31 | 0.394 | (0, 0.478) | A91 | 0.3087 | (0, 0) | A84 | 0.217 | (3.026E−5, 0.379) |
XRP-DOGE | A9 (180°)5 | 0.171 | (0, 0) | A42 | 0.172 | (0, 0) | A44 | 0.123 | (0, 0) | E25 | 0.081 | (0.019, 0.019) |
BNB-LTC | A9 (180°)2 | 0.220 | (0, 0) | A93 | 0.125 | (0, 0) | E22 | 0.147 | (0.027, 0.027) | A2 (180°)3 | 0.063 | (0, 0.006) |
BNB-DOGE | E24 | 0.043 | (0.003, 0.003) | A9 (180°)5 | 0.099 | (0, 0) | A91 | 0.263 | (0, 0) | A91 | 0.168 | (0, 0) |
LTC-DOGE | A3 (180°)3 | 0.144 | (0.190, 0) | A91 | 0.338 | (0, 0) | A43 | 0.122 | (0, 0) | A84 | 0.082 | (0.003, 0.063) |