Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 21, 2019 erstellt
Description:
We introduce a principal components model for securities' returns. The components are non-normal, exhibiting significant skewness and kurtosis. The model can explain a large proportion of the variance of the securities' returns with only one or two components. Third and higher-order components individually contribute so little that they can be considered to be noise terms