USD/GBP

USD/EUR

USD/SAR

GBP/EUR

GBP/SAR

EURO/SAR

Gaussian Copula

Rho (Std. error)

0.48 (0.00)

0.42 (0.01)

0.29 (0.01)

0.72 (0.00)

0.45 (0.00)

0.48 (0.00)

Copula Loglik

640.41

466.76

211.31

1830.77

554.48

638.77

AIC

−1278.82

−931.52

−420.62

−3659.54

−1106.96

1275.53

BIC

−1272.32

−925.02

−414.11

−3653.03

−1100.46

−1269.03

Student-t Copula

Rho (Std. error)

0.47 (0.01)

0.41 (0.01)

0.28 (0.01)

0.73 (0.01)

0.46 (0.01)

0.49 (0.01)

DoF (Std. error)

6.12 (0.69)

6.65 (0.82)

10.21 (1.85)

6.37 (0.70)

7.12 (0.83)

6.02 (0.59)

Copula Loglik

691.70

509.42

229.26

1898.13

605.54

719.71

AIC

−1379.41

−1014.83

−454.52

−3792.27

−1207.08

−1435.42

BIC

−1366.40

−1001.82

−441.52

−3779.26

−1194.08

−1422.42

Clayton Copula

Parameter (Std. error)

0.68 (0.03)

0.55 (0.02)

0.33 (0.01)

1.52 (0.06)

0.62 (0.02)

0.71 (0.03)

Copula Likelihood

532.17

393.86

173.99

1562.24

460.46

551.69

AIC

−1062.35

−785.72

−345.98

−3122.48

−918.92

−1101.38

BIC

−1055.85

−779.21

−339.48

−3115.98

−912.42

−1094.88

Gumbel Copula

Parameter (Std. error)

1.42 (0.01)

1.34 (0.01)

1.20 (0.01)

1.96 (0.03)

1.39 (0.01)

1.44 (0.02)

Copula Loglik

618.90

446.04

200.77

1699.80

528.58

614.75

AIC

−1235.81

−890.08

−399.54

−3397.59

−1055.16

−1227.49

BIC

−1229.30

−883.58

−393.04

−3391.09

−1048.66

−1220.99

Frank Copula

Parameter (Std. error)

3.09 (0.14)

2.55 (0.12)

1.69 (0.10)

6.19 (0.40)

2.99 (0.14)

3.35 (0.15)

Copula Loglik

555.65

391.82

181.20

1687.55

528.55

639.95

AIC

−1109.30

−781.64

−360.40

−3373.11

−1055.11

−1277.89

BIC

−1102.80

−775.13

−353.89

−3366.61

−1048.61

−1271.39

Joe Copula

Parameter (Std. error)

1.53 (0.02)

1.42 (0.02)

1.25 (0.01)

2.19 (0.03)

1.49 (0.02)

1.54 (0.02)

Upper Tail

0.43

0.37

0.26

0.63

0.41

0.43

Copula Loglik

472.40

336.92

149.66

1286.41

393.68

450.12

AIC

−942.81

−671.84

−297.32

−2570.83

−785.37

−898.24

BIC

−936.31

−665.34

−290.82

−2564.32

−778.86

−891.74