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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 t ,λ 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 t ,λ 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