Hagströmer, Björn; Anderson, Richard G.; Binner, Jane M. - 2009
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Richard G. Anderson
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Jane M. Binner
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Birger Nilsson
May 26, 2009
We develop the principal component analysis (PCA … liquidity, market liquidity, commonality, dynamic principal component analysis,
robust PCA
JEL Codes: G10, C02 …. Anderson, Jane M. Binner, Birger Nilsson⁄
May 26, 2009
Abstract
We develop the principal component analysis (PCA) approach to …