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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

   
  1. Note: The eigenvalues of R t are calculated on every trading day during the observation period. Min and max represent the minimum and maximum of the vector of the corresponding eigenvalues, respectively. TW represents the Tracy–Widom distribution; MP represents the Mar\(\breve {c}\)enko–Pastur distribution