Table 5 Results of single-regime R-Vine... | Emerald Publishing

Table 5

Results of single-regime R-Vine copula

Pair	Copula	$θ$	$λ$	$λ_{U}$	$λ_{L}$
REUS-REJP	Joe	1.120	0.064	0.143	–
RBRENT-REIN	T	−0.020	0.002	0.039	0.039
RBRENT-REKR	Frank	−0.930	−0.102	–	–
RBRENT-RECN	T	−0.380	−0.250	0.006	0.006
RBRENT-REUS	Gaussian	−0.180	−0.110	–	–
RBRENT-REJP\|REUS	Frank	−1.700	−0.180	–	–
RECN-REIN\|RBRENT	Gaussian	−0.130	−0.080	–	–
RECN-REKR\|RBRENT	Gaussian	−0.160	−0.100	–	–
RECN-REUS\|RBRENT	Gumbel	1.250	0.200	0.259	–
RECN-REJP\|RBRENT,REUS	Frank	−1.740	−0.180	–	–
REUS-REIN\|RECN,RBRENT	Frank	−0.210	−0.020	–	–
REUS-REKR\|RECN,RBRENT	Frank	−1.000	−0.110	–	–
REKR-REJP\|RECN,RBRENT,REUS	T	−0.370	−0.240	0.018	0.018
REKR-REIN\|REUS,RECN,REBENT	Gumbel	1.180	0.150	0.201	–
REIN-REJP\|REKR,RECN,RBRENT,REUS	Frank	−1.420	−0.150	–	–

Pair	Copula	$θ$	$λ$	$λ_{U}$	$λ_{L}$
REUS-REJP	Joe	1.120	0.064	0.143	–
RBRENT-REIN	T	−0.020	0.002	0.039	0.039
RBRENT-REKR	Frank	−0.930	−0.102	–	–
RBRENT-RECN	T	−0.380	−0.250	0.006	0.006
RBRENT-REUS	Gaussian	−0.180	−0.110	–	–
RBRENT-REJP\|REUS	Frank	−1.700	−0.180	–	–
RECN-REIN\|RBRENT	Gaussian	−0.130	−0.080	–	–
RECN-REKR\|RBRENT	Gaussian	−0.160	−0.100	–	–
RECN-REUS\|RBRENT	Gumbel	1.250	0.200	0.259	–
RECN-REJP\|RBRENT,REUS	Frank	−1.740	−0.180	–	–
REUS-REIN\|RECN,RBRENT	Frank	−0.210	−0.020	–	–
REUS-REKR\|RECN,RBRENT	Frank	−1.000	−0.110	–	–
REKR-REJP\|RECN,RBRENT,REUS	T	−0.370	−0.240	0.018	0.018
REKR-REIN\|REUS,RECN,REBENT	Gumbel	1.180	0.150	0.201	–
REIN-REJP\|REKR,RECN,RBRENT,REUS	Frank	−1.420	−0.150	–	–

Source(s): Author’s calculations based on using R program