Question: Suppose we perform a principle component analysis of the correlation matrix of the returns of 13 yields along the yield curve. The largest eigenvalue of

Suppose we perform a principle component analysis of the correlation matrix of the returns of 13 yields along the yield curve. The largest eigenvalue of the correlation matrix is 9.8.

What percentage of return volatility is explained by the first component?

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

In a principal component analysis PCA the ratio of the biggest eigenvalue to the total of all eigenv... View full answer

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Ling Corporation decided to acquire all of Huang Corporation's voting common stock on January 1, 2017. The purchase price consisted of $10,000 for the registering and issuing of 10,000 shares of Ling...

List three specific parts of the Case Guide, Objectives and Strategy Section (See below) that you had the most difficulty understanding. Describe your current understanding of these parts. Provide...

Managing Scope Changes Case Study Scope changes on a project can occur regardless of how well the project is planned or executed. Scope changes can be the result of something that was omitted during...

KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...

N2 Suppose we perform a principle component analysis of the correlation matrix of the returns of 13 yields along the yield curve. The largest eigenvalue of the correlation matrix is 9.8. What...

Suppose we perform a principle component analysis of the correlation matrix of the returns of 13 yields along the yield curve. The largest eigenvalue of the correlation matrix is 9.8. What percentage...

Write 2 paragraphs about Macro risks and the term structure of interest rates article. No max word count, page count, or formatting requirements but has to be submit to my tutor's work as my own....

SEE "DOCUMENT 1" FOR CRITERIA 2 "DOCUMENT 2" FOR CRITERIA 4 You are to write a 3 to 4 page paper following APA rules for the title page, citations and appropriate references within the body of the...

SEE "DOCUMENT 1" FOR CRITERIA 2 "DOCUMENT 2" FOR CRITERIA 4. You are to write a 2 to 4 page paper following APA rules for the title page, citations and appropriate references within the body of the...

Consider the two grocery store chains, Publix and Kroger. Here are some approximate data on eacho f these stores from 2019: Publix: Total revenue = $38 Billion Number of employees = 200,000 Total...

The increasing importance of the tertiary sector has weakened the formal organization of work in recent times. Examine the statement.

Which of the following is an accurate statement about internal control weaknesses significant deficiencies are also material weaknesses material weaknesses are also controlled deficiencies controlled...

Briefly explain whether each of the following procedural errors would result in a high, low, or an unchanged calculated mass of Ca 2+ ion in the analyzed tablet. The Steps are at the bottom. (a) A...

Write a Matlab program to solve the initial value problem y(x) = y*(x) +x + 2ry(x). y(0) = 7, using explicit Euler method, Heun's method and explicit midpoint method. The solu- tion is wanted in the...

Design a clamper circuit to perform functions indicated?

This type of time fence may allow changes in specific products within a product group so long as parts are available.SmoothieLiquidSolidFluidSlushyFirmWhen dealing with MRP and inventory, when you...

Seventy percent of customers at the snack counter of a movie theater buy drinks. Among those who buy drinks, 30% also purchase popcorn. Whats the probability that a customer at the counter buys a...

Match each item on the left with its correct description on the right. 2se(X) (a) Sampling distribution of X (b) Margin of error (c) 100% confidence interval for p (d) Estimated standard error of Y...

The intercept in a regression of Y on a dummy variable X is the difference between the mean of Y for observations with x = 0 and the mean of Y for observations with x = 1. Mark each statement True or...

XtraNet, an Internet service provider (ISP), has experienced rapid growth in the past five years. As a part of its marketing strategy, XtraNet promises fast connections and dependable service. To...

Assuming the population of interest is approximately normally distributed, construct a 95% confidence interval estimate for the population mean given the following values:

A regional U.S. commercial bank issues both Visa credit cards and MasterCard credit cards. As a part of its annual review of the profitability of each type of credit card, the bank randomly samples...