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This paper presents a variance decomposition method - factor analysis with Procrustes rotation - that is capable of separating the global, regional and idiosyncratic components of various financial market indicators. The method is applied to indicators of five key financial markets: sovereign...
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High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of … motivates theoretical reasons to derive the weights of the elementary indicators in a composite index when multiple components …
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