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Table 3 Cosine distance of the largest eigenvector

From: Building a dynamic correlation network for fat-tailed financial asset returns

 

Cosine distance

 

(min - max)

Transportation equipment

 

Dynamic (ν 1·t )

0.00 - 12.99

Moving Average (\(\nu ^{m}_{1\cdot t}\))

0.47 - 5.15

Banking

 

Dynamic (ν 1·t )

0.00 - 21.66

Moving Average (\(\nu ^{m}_{1\cdot t}\))

0.34 - 4.90

  1. Note: Cosine distance ν is defined in (14)