Table 2 Eigenvalues of the dynamic correlation matrix
From: Building a dynamic correlation network for fat-tailed financial asset returns
| Eigenvalue | 99th percentile | |||||
|---|---|---|---|---|---|---|
| Largest | Second largest | TW | MP | |||
| (min - max) | (min - max) | |||||
| Transportation equipment | ||||||
| Dynamic (λ 1·t ,λ 2·t ) | 24.28 - 27.17 | 0.97 - 1.40 | 1.38 | 1.33 | ||
| Moving Average (\(\lambda ^{m}_{1\cdot t}, \lambda ^{m}_{2\cdot t}\)) | 19.97 - 31.39 | 1.32 - 2.67 | ||||
| Banking | ||||||
| Dynamic (λ 1·t ,λ 2·t ) | 31.56 - 35.20 | 1.25 - 1.73 | 1.38 | 1.33 | ||
| Moving Average (\(\lambda ^{m}_{1\cdot t}, \lambda ^{m}_{2\cdot t}\)) | 25.89 - 39.60 | 0.84 - 2.70 | ||||