Table 2 Goodness-of-fit evaluation of candidate copula models.
Copula type | Log-likelihood | Akaike information criterion | Bayesian information criterion | Kendall’s τ | Selected |
|---|---|---|---|---|---|
Frank-copula | − 1225.13 | 2454.26 | 2460.52 | 0.42 | √ |
Gaussian copula | − 1227.94 | 2459.88 | 2468.37 | 0.43 | ×  |
t-copula | − 1230.33 | 2464.66 | 2472.15 | 0.44 | ×  |
Clayton copula | − 1248.03 | 2496.06 | 2501.32 | 0.39 | ×  |
Gumbel copula | − 1239.15 | 2482.30 | 2488.77 | 0.41 | ×  |