Financial Insights from the Last Few Components of a Stock Market PCA
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Cited by:
- Wang, Peiwen & Huang, Guanglin, 2024. "Measuring systemic risk contribution: A higher-order moment augmented approach," Finance Research Letters, Elsevier, vol. 59(C).
- Thomas A. Severini, 2022. "Some properties of portfolios constructed from principal components of asset returns," Annals of Finance, Springer, vol. 18(4), pages 457-483, December.
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Keywords
principal component analysis; stock correlation; diversification; stock portfolios; ASX 200;All these keywords.
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