Table 6 The estimated result of... | Emerald Publishing

Table 6

The estimated result of MS-R-Vine in the first regime

Pair	Copula	$θ$	$λ$	$λ_{U}$	$λ_{L}$
REUS-REJP	Joe	1.103	0.055	0.125	–
RBRENT-REIN	T	−0.112	−0.379	0.054	0.054
RBRENT-REKR	Frank	−1.098	−0.120	–	–
RBRENT-RECN	T	−0.108	−0.068	0.055	0.055
RBRENT-REUS	Gaussian	−0.023	−0.014	–	–
RBRENT-REJP\|REUS	Frank	−1.123	−0.123	–	–
RECN-REIN\|RBRENT	Gaussian	−0.034	−0.021	–	–
RECN-REKR\|RBRENT	Gaussian	−0.236	−0.151	–	–
RECN-REUS\|RBRENT	Gumbel	1.203	0.168	0.221	–
RECN-REJP\|RBRENT,REUS	Frank	0.739	0.081	–	–
REUS-REIN\|RECN,RBRENT	Frank	0.018	0.002	–	–
REUS-REKR\|RECN,RBRENT	Frank	0.521	0.057	–	–
REKR-REJP\|RECN,RBRENT,REUS	T	0.294	0.189	0.159	0.159
REKR-REIN\|REUS,RECN,REBENT	Gumbel	1.293	0.226	0.291	–
REIN-REJP\|REKR,RECN,RBRENT,REUS	Frank	0.029	0.003	–	–

Pair	Copula	$θ$	$λ$	$λ_{U}$	$λ_{L}$
REUS-REJP	Joe	1.103	0.055	0.125	–
RBRENT-REIN	T	−0.112	−0.379	0.054	0.054
RBRENT-REKR	Frank	−1.098	−0.120	–	–
RBRENT-RECN	T	−0.108	−0.068	0.055	0.055
RBRENT-REUS	Gaussian	−0.023	−0.014	–	–
RBRENT-REJP\|REUS	Frank	−1.123	−0.123	–	–
RECN-REIN\|RBRENT	Gaussian	−0.034	−0.021	–	–
RECN-REKR\|RBRENT	Gaussian	−0.236	−0.151	–	–
RECN-REUS\|RBRENT	Gumbel	1.203	0.168	0.221	–
RECN-REJP\|RBRENT,REUS	Frank	0.739	0.081	–	–
REUS-REIN\|RECN,RBRENT	Frank	0.018	0.002	–	–
REUS-REKR\|RECN,RBRENT	Frank	0.521	0.057	–	–
REKR-REJP\|RECN,RBRENT,REUS	T	0.294	0.189	0.159	0.159
REKR-REIN\|REUS,RECN,REBENT	Gumbel	1.293	0.226	0.291	–
REIN-REJP\|REKR,RECN,RBRENT,REUS	Frank	0.029	0.003	–	–

Note(s): Abnormal regime or low dependence regime

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