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Table 5 Stress events for the dynamic comparative analysis

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

Trading date Event Transportation Banking
15/10/2008 Lehman collapse A A
1/12/2009 Monetary policy change - C
15/3/2011 Great Earthquake B B
  1. Note: The Lehman collapse and Great Earthquake are selected as global (market-wide) stress events that increased the volatility of many stocks significantly; the monetary policy change event is selected as the banking sector-specific ones identified by the clear hike in the cosine distance shown in Fig. 2 b. The marks A, B, and C are identifiers of events referred to in the figures hereafter.