Fig. 1From: Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spilloversComparison of absolute residual correlations, with and without factors. a Simple VAR(1) model. b Factor VAR(1) model. Note: The histograms show the distribution of the absolute pairwise correlations between the residuals of the simple VAR(1) model and our factor VAR(1) model evaluated by OLSBack to article page