How to extract principal components time series

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How to extract principal components time series

Postby lang0477 » Wed Apr 28, 2021 5:14 am

I have a newbie question, what I want to do is to find out what is the top 2 or 3 important drivers of asset prices given the time frame.
I have say 30 columns of asset returns by date as input, they are simple time series of daily/weekly/monthly return.
I also have say 10 columns of key suspected drivers, they are macro drivers which i knew are important in long term but not sure if they are in the short term, the influences always shifting in the market.
I would like to learn how can I extra a matrix of PCs matrix so that i can compare correlation with each suspected drivers, this would tell me which drivers are the keys.


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