Consider the 99 world financial market indexes. Compute the log returns of the indexes. Obtain a time
Question:
Consider the 99 world financial market indexes. Compute the log returns of the indexes. Obtain a time plot of all series and perform a PCA of the log returns. Summarize the results of PCA, including scree plot and time plots of the first six PCs. [An R command for PCA is princomp].
Step by Step Answer:
Related Book For
Statistical Learning For Big Dependent Data
ISBN: 9781119417385
1st Edition
Authors: Daniel Peña, Ruey S. Tsay
Question Posted: