Suppose we perform a principle component analysis of the correlation matrix of the returns of 13 yields

Fantastic news! We've Found the answer you've been seeking!

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 the correlation matrix is 9.8.

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

Related Book For answer-question

Statistics For Business Decision Making And Analysis

ISBN: 9780134497167

3rd Edition

Authors: Robert A. Stine, Dean Foster

See More Books

Posted Date: Jun 10, 2023 10:05 PM

See More Questions

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...
Give the order of magnitude () for the following algorithm. Explain why your answer is correct. GET VALUES for A1, A2, ..., An, and B, B2, ..., Ba Get value of n /* set i equal to 1 */ /* for each of...
Evaluate the integral Graph the integrand and its indefinite integral on the same screen and check that your answer is reasonable. dx Vx - 2 :4
The tank of liquid in the figure P2.139 accelerates to the right with the fluid in rigid-body motion. (a) Compute ax in m/s2. (b) Why doesnt the solution to part (a) depend upon fluid density? (c)...
Gegax Manufacturing incurred the following costs in acquiring land, making land improvements, and constructing and furnishing a new building. Gegax Manufacturing depreciates buildings over 40 years,...
Enhance the Treasury Yield Rates database file to perform a database query that finds the rate associated with any date and term.
Why is the statement of cash flows required as part of the set of external financial statements? What can one learn from the statement of cash flow that cant necessarily be learned from reading the...
When coal is burned to form synthesis gas (syngas), which contains mostly CO, H 2 , H 2 S, and CO 2 , the H 2 S must be removed. The gas is called syngas because H 2 and CO are the building blocks...
Define the following terms as used in fermentation. A. Precursors B. Inducers C. Inhibitor
The Moon's diameter is 3.5x10 km, and its distance from Earth is 3.8x10 5 km. The image is formed by the Hale Telescope reflecting mirror, which has a focal length of +16.9 m. A. Determine the...
Cullumber Company is working on two job orders. The job cost sheets show the following. Job 201 Job 202 Direct materials $9,120 $11,520 Direct labor 5,120 10,240 Prepare the two summary entries to...
A plane flying at 80.0 m/s releases a package from a height of 1000 m. Find a. the time it takes for the package to hit the ground. b. the distance it travelled horizontally. c. the final velocity...
A particle is trapped in a potential well described by U(x)=16-b where U is in joules, x is in meters, and b= 4.0 J. Find the force on the particle when it's at a) x=2.2m and b) x=-1.7m.
An object moving on the x axis with a constant acceleration increases its x coordinate by 191 m in a time of 7.94 s and has a velocity of 20 m/s at the end of this time. Determine the acceleration of...
Ryanair is a popular budget airline that has employed multiple strategies to maintain its competitive edge. One of its approaches involves reducing the turnaround time between flights by eliminating...
One of the significant and relevant accounts for this cycle is equipment. For this account, what would typically be the most relevant assertions for the auditor to consider? Why is it important for...
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...
Solve Problem 33 with (a) $T=2 \mathrm{~s}$, and (b) $T=$ $0.5 \mathrm{~s}$.
Solve Problem 33 with $\zeta=1.0$.
A body is subjected to the two harmonic motions, \[ \begin{aligned} & x_{1}(t)=100 \sin \left(\omega t+\frac{\pi}{3} ight) \mathrm{mm} \\ & x_{2}(t)=50 \sin \left(\omega t+\frac{\pi}{6} ight)...

Suppose we perform a principle component analysis of the correlation matrix of the returns of 13 yields

Question:

Expert Answer:

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

Statistics For Business Decision Making And Analysis

Students also viewed these finance questions