. 2020 Oct 7;37:101773. doi: 10.1016/j.frl.2020.101773

Table 6.

H statistics under three different bivariate models. H statistics are computed using three different modes as a benchmark. The normal mixture, t-distribution mixture, and threshold DCC models are denoted with nm, tm, and DCC, respectively. H_E,i is the H statistic with the equal weight under the i model. H_T,i is the H statistic with threshold-dependent weight under the i model.

Pre-crisis	H_E,nm	H_T,nm	H_E,tm	H_T,tm	H_E,DCC	H_T,DCC
	0.071	0.061	0.067	0.056	0.066	0.061

During-crisis	H_E,nm	H_T,nm	H_E,tm	H_T,tm	H_E,DCC	H_T,DCC

	0.266	0.163	0.239	0.139	0.315	0.193