Question: SCI and GEI 84 0.4 AR 4 0.5 Quantiles (3) According to the figure, what kind of copula model is expected to be preferred? Please

SCI and GEI 84 0.4 AR 4 0.5 Quantiles (3) According to the figure, what kind of copula model is expected to be preferred? Please choose one copula from the following four copulas: Gaussian, t, Clayton, Gumbel, and explain your reason. (6') Am R 4. Exceedance correlations (4) The table below provides the estimates of four copula models. For the t copula, what does the correlation coefficient mean? What does the degree of freedom coefficient mean? (6) Gaussian Gumbel Clayton 0.6250*** 0.6864*** P T 0.5571*** (0.0032) (0.0060) (0.0074) (0.0050) 3.1394*** (0.5299) -925.0765 -1083.2879 -888.0916 BIC -946.3583 Notes: Brackets below the parameter estimates are the standard deviations.*** denote significance at the 1% significance level. ED B8 (1) 00 8 0.6969*** SCI and GEI 84 0.4 AR 4 0.5 Quantiles (3) According to the figure, what kind of copula model is expected to be preferred? Please choose one copula from the following four copulas: Gaussian, t, Clayton, Gumbel, and explain your reason. (6') Am R 4. Exceedance correlations (4) The table below provides the estimates of four copula models. For the t copula, what does the correlation coefficient mean? What does the degree of freedom coefficient mean? (6) Gaussian Gumbel Clayton 0.6250*** 0.6864*** P T 0.5571*** (0.0032) (0.0060) (0.0074) (0.0050) 3.1394*** (0.5299) -925.0765 -1083.2879 -888.0916 BIC -946.3583 Notes: Brackets below the parameter estimates are the standard deviations.*** denote significance at the 1% significance level. ED B8 (1) 00 8 0.6969***

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