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Questions tagged [principal-components]

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Predicting stock returns using principal components of macroeconomic variables

I'm trying to detect return predictability by regressing stock returns on the first couple of principal components of a set of macroeconomic variables. I'm doing this for different stock styles such ...
Louis's user avatar
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PCA on portfolio depending on multiple time series

There is extensive documentation about PCA on specific time series (for example the UK yield curve). When you have a portfolio which only depends on the change of the UK yield curve then a PCA on the ...
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First Principal Component Large Volatility

I am conducting PCA on several return series of funds and am finding that when I look at the first principal component the values are huge and this the volatility is also enormous relative to the ...
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PCA and constructing an index

Given a set of correlated securities and their corresponding closing prices, I am looking for a way to construct an index of these securities. When applying PCA to obtain the principal components, ...
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