Fig. 2
From: Building a dynamic correlation network for fat-tailed financial asset returns
Changes in the Largest Eigenvalues of the Dynamic Correlation. Note: The solid line represents the largest eigenvalue λ 1·t of the dynamic correlation matrix R t estimated by the DCC–GARCH model in the left scale; the dotted line represents the largest eigenvalue \(\lambda ^{m}_{1\cdot t}\) of the moving window-based correlation matrix \(\boldsymbol {R}^{m}_{t}\) in the right scale