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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