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Extreme events: blending PCA and ICA [6]

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Bullet points include: Some instrument types intrinsically skewed (e.g. high-grade bonds, options). Others (e.g. equities) still exhibit fat-tails, timescale dependent. E.g. Monthly, weekly and daily returns for major equity market indices (end June 1994 to end Dec 2007). FTSE All-Share. S&P 500. FT-W Europe (ex UK). Topix

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