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Predictability of Tail Risks of Canada and the U.S. Over a Century: The Role of Spillovers and Oil Tail Risks. (2021). Salisu, Afees ; Pierdzioch, Christian ; Gupta, Rangan.
In: Working Papers.
RePEc:pre:wpaper:202127.

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  47. Table A8: PCA results for tail risks of other advanced economies with 1% VaR Eigenvalues: (Sum = 6, Average = 1) Value Difference Proportion Value Proportion 1 2.139851 0.891306 0.3566 2.139851 0.3566 2 1.248545 0.090663 0.2081 3.388396 0.5647 3 1.157882 0.446731 0.1930 4.546278 0.7577 4 0.711152 0.315486 0.1185 5.257430 0.8762 5 0.395666 0.048761 0.0659 5.653095 0.9422 6 0.346905 --- 0.0578 6.000000 1.0000 Eigenvectors (loadings): PC 1 PC 2 PC 3 PC 4 PC 5 PC 6 FRANCE 0.524178 0.117562-0.348256 0.368953-0.034935-0.672896 GERMANY 0.130238 0.323984 0.698371 0.601606 0.118054 0.120352 ITALY 0.297984 0.608848-0.443181 0.019340-0.069911 0.582099 JAPAN 0.330909 0.406333 0.395318-0.705056 0.044081-0.264706 SWITZERLAND 0.499263-0.409488 0.195510-0.025266-0.698049 0.238580 UK 0.510605-0.421582-0.009344-0.061864 0.700528 0.258646
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