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Fig. 2 | Applied Network Science

Fig. 2

From: Building a dynamic correlation network for fat-tailed financial asset returns

Fig. 2

Changes in the Largest Eigenvalues of the Dynamic Correlation. Note: The solid line represents the largest eigenvalue λ 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

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