From: Building a dynamic correlation network for fat-tailed financial asset returns
Sector | m, n | a1 | b1 | b2 | b1+b2 | η |
---|---|---|---|---|---|---|
Transportation | 1, 2 | 0.0061 | 0.4161 | 0.4493 | 0.8654 | 30.4160 |
equipment | (0.0007) | (0.0808) | (0.0805) | (1.2898) | ||
Banking | 1, 2 | 0.0094 | 0.3940 | 0.4461 | 0.8402 | 21.5952 |
(0.0009) | (0.0686) | (0.0695) | (1.0033) |