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Monday, October 22 |
- Find at least 5 time series related to the
financial markets, that you expect to vary jointly.
Examples include
- exchange rates from the US$ to several other
currencies,
- various kinds of interest rates, prices of
various stocks,
- stock price indices for various
countries,
- prices (or futures) of various
commodities.
- Perform principal components analysis of the
data, after scaling if required.
- Examine the loadings of the first component, and
discuss its interpretation.
- Graph the time series of scores for the first
component, and discuss its interpretation and its
relation to the graphs of the original series
- Repeat for the second and subsequent components,
until you find one for which you can offer no
interpretation.
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