From: A wavelet approach of investing behaviors and their effects on risk exposures
CAC | Oil | Gold | SMB | HML | |
---|---|---|---|---|---|
(a) Matrix of Correlation | |||||
CAC | 1 | 0.28 | − 0.065 | 0.05 | 0.23 |
Oil | 0.28 | 1 | 0.15 | 0.02 | 0.12 |
Gold | − 0.065 | 0.15 | 1 | 0.04 | − 0.026 |
SMB | 0.05 | 0.02 | 0.04 | 1 | − 0.096 |
HML | 0.23 | 0.12 | − 0.026 | − 0.096 | 1 |
ViF | ||||
---|---|---|---|---|
CAC | Oil | Gold | SMB | HML |
(b) Variance inflation factors (ViF) | ||||
1.15 | 1.12 | 1.04 | 1.017 | 1.075 |