Copula

Parameter

Bitcoin & Gold

Bitcoin & Ethereum

Normal

$\rho$

−0.056144

0.066045

Student-t

$\rho$

−0.056434

0.052308

v

99.985635

7.891662

Clayton

$\delta$

0.000103

0.094013

SJC

${\lambda }_u$

6.019420 × 10⁻⁷

6.267916 × 10⁻⁵

${\lambda }_L$

7.379685 × 10⁻⁷

0.012719

tvNormal

${\omega }_{\rho }$

−0.038916

0.298822

${\alpha }_{\rho }$

−0.069228

−0.392363

${\beta }_{\rho }$

1.402669

−1.910929

tvSJC

${\alpha }_u$

−15.301512

−15.203831

${\beta }_u$

−0.379823

1.938233

${\omega }_u$

−0.000174

−0.010136

${\alpha }_L$

−15.329840

2.446052

${\beta }_L$

−0.475029

−24.999134

${\omega }_L$

−0.005585

−0.866843