Table 8 Fitted bivariate Copula and the corresponding Kendall’s τ between the log return and the three liquidity proxies: the log Amihud ratio, the AR estimator, and the CS estimator
From: Relationships among return and liquidity of cryptocurrencies
Crypto | Log return & | Log Amihud Ratio | AR Estimator | CS Estimator |
|---|---|---|---|---|
BTC | Copula | E2 | E2 | E2 |
Ï„ | 0.030 | 0.096 | 0.034 | |
(Lower, upper) | (0.173, 0.173) | (0.233, 0.233) | (0.117, 0.117) | |
ETH | Copula | A5 | A5 | A5 |
Ï„ | 0.152 | 0.227 | 0.101 | |
(Lower, upper) | (0, 0.306) | (0, 0.424) | (0, 0.215) | |
XRP | Copula | A7 (90°) | E2 | E2 |
τ | − 0.186 | 0.016 | 0.021 | |
(Lower, upper) | (0, 0) | (0.190, 0.190) | (0.101, 0.101) | |
BNB | Copula | E2 | E2 | E2 |
Ï„ | 0.052 | 0.100 | 0.034 | |
(Lower, upper) | (0.185, 0.185) | (0.236, 0.236) | (0.105, 0.105) | |
LTC | Copula | E2 | E2 | E2 |
τ | 0.016 | 0.099 | − 0.008 | |
(Lower, upper) | (0.186, 0.186) | (0.235, 0.235) | (0.104, 0.104) | |
DOGE | Copula | E2 | E2 | E2 |
τ | − 0.007 | 0.004 | − 0.010 | |
(Lower, upper) | (0.154, 0.154) | (0.184, 0.184) | (0.043, 0.043) |