Table 7 The estimated result of... | Emerald Publishing

Table 7

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

Pair	Copula	$θ$	$λ$	$λ_{U}$	$λ_{L}$
REUS-REJP	Joe	1.405	0.186	0.362	–
RBRENT-REIN	T	−0.247	−0.158	0.034	0.034
RBRENT-REKR	Frank	−1.943	−0.207	–	–
RBRENT-RECN	T	−0.334	−0.216	0.024	0.024
RBRENT-REUS	Gaussian	−0.345	−0.224	–	–
RBRENT-REJP\|REUS	Frank	−2.049	−0.136	–	–
RECN-REIN\|RBRENT	Gaussian	0.302	0.195	–	–
RECN-REKR\|RBRENT	Gaussian	−0.019	−0.012	–	–
RECN-REUS\|RBRENT	Gumbel	1.090	0.082	0.111	–
RECN-REJP\|RBRENT,REUS	Frank	−2.093	−0.222	–	–
REUS-REIN\|RECN,RBRENT	Frank	−1.029	−0.113	–	–
REUS-REKR\|RECN,RBRENT	Frank	1.529	0.025	–	–
REKR-REJP\|RECN,RBRENT,REUS	T	0.234	0.150	0.138	0.138
REKR-REIN\|REUS,RECN,REBENT	Gumbel	1.093	0.000	0.114	–
REIN-REJP\|REKR,RECN,RBRENT,REUS	Frank	2.043	0.085	–	–
$p_{11}$		0.951	0.010
$p_{22}$		0.982	0.010

Pair	Copula	$θ$	$λ$	$λ_{U}$	$λ_{L}$
REUS-REJP	Joe	1.405	0.186	0.362	–
RBRENT-REIN	T	−0.247	−0.158	0.034	0.034
RBRENT-REKR	Frank	−1.943	−0.207	–	–
RBRENT-RECN	T	−0.334	−0.216	0.024	0.024
RBRENT-REUS	Gaussian	−0.345	−0.224	–	–
RBRENT-REJP\|REUS	Frank	−2.049	−0.136	–	–
RECN-REIN\|RBRENT	Gaussian	0.302	0.195	–	–
RECN-REKR\|RBRENT	Gaussian	−0.019	−0.012	–	–
RECN-REUS\|RBRENT	Gumbel	1.090	0.082	0.111	–
RECN-REJP\|RBRENT,REUS	Frank	−2.093	−0.222	–	–
REUS-REIN\|RECN,RBRENT	Frank	−1.029	−0.113	–	–
REUS-REKR\|RECN,RBRENT	Frank	1.529	0.025	–	–
REKR-REJP\|RECN,RBRENT,REUS	T	0.234	0.150	0.138	0.138
REKR-REIN\|REUS,RECN,REBENT	Gumbel	1.093	0.000	0.114	–
REIN-REJP\|REKR,RECN,RBRENT,REUS	Frank	2.043	0.085	–	–
$p_{11}$		0.951	0.010
$p_{22}$		0.982	0.010

Note(s): Normal regime or high dependence regime

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