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Applied Network Science

Table 1 DCC estimation result

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)

  1. Note: The DCC order (m, n) and parameters a 1, b 1, and b 2 are defined in (5). η is the shape parameter of the Student t-copula in (10). The R (http://cran.r-project.org/) package “rmgarch” (Ghalanos 2014) is used for the parameter estimation
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