Extreme events: blending PCA and ICA [29]

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Bullet points include: Average extent to which tail exceeds expected level (average of 6 most extreme outcomes). Downside (%). Upside (%).Unadj. Adj for vol. Unadj. Adj for vol. FTSE All-Share (in GBP). S&P 500 (in USD). FTSE Eur ex UK (in EUR). Topix (in JPY)

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