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Book: Statistics and Data Analysis for Financial Engineering Chapter 18, Exercise #1 (p. 551) The file yields2009.csv on this book's website contains daily Treasury yields

Book: Statistics and Data Analysis for Financial Engineering

Chapter 18, Exercise #1 (p. 551)

  1. The file yields2009.csv on this book's website contains daily Treasury yields for 2009. Perform a principal components analysis on changes in the yields. Describe your findings. How many principal components are needed to capture 98 % of the variability?

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