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Views on non-Normal markets [35]

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Bullet points include: Peaking in four corners of quantile-quantile box plot may be explained by presence of a distributional mixture. We expect different pairs of sectors to have different correlations. And hence different joint distributions. We can eliminate this effect by focusing on principal components. Orthogonal by construction. Hence all disjoint pairs of principal components have the same (i.e. zero) correlation

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