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Keywords: Principal components
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2015) 32 (2): 256–274.
Published: 01 June 2015
..., interest rate spreads, stock market yields and volatility, bond market volatility and monetary aggregates. The authors explore different methodologies for constructing the FCI, including full sample and rolling-window principal components analysis. Furthermore, the authors investigate whether...
