Extreme Events – Figure 3.18: Impact of
adjusting each relative return series by its own recent past volatility
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Sub-charts:
(a) Number of
observations in each fractile-fractile pairing
(b) Number of observations
for each principal component pairing (weighted by eigenvalue size)
(c) (Excess)
kurtosis of each underlying return series
(d) Eigenvalues (sorted by
size)
(e) Skewness of each
eigenseries (sorted in order of decreasing eigenvalue size)
(f) (Excess)
kurtosis of each eigenseries (sorted in order of decreasing eigenvalue size)
SmartChart version:
Not available
Variant used in book:
Source: Nematrian, Thomson Datastream. Copyright (c)
Nematrian (2010)
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