Hungarian paper breaks down components of finanical market indicators
A Central Bank of Hungary working paper, published yesterday, presents a method of separating the different components – global, regional and country-specific – of a range of financial market indicators.
The paper, Global, Regional and Country-Specific Components of Financial Market Indicators: An Extraction Method and Applications, by Zalán Kocsis, uses a variance decomposition approach that utilises the statistical technique of procrustes rotation.
The authors apply their method to five
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