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Title: Extraction of the underlying structure of systematic risk from Non-Gaussian multivariate financial time series using Independent Component Analysis. Evidence from the Mexican Stock Exchange
Author: Ladrón de Guevara Cortés, Rogelio
Torra Porras, Salvador
Monte Moreno, Enric
Keywords: Risc (Economia)
Arbitratge (Borsa)
Anàlisi multivariable
Mercat financer
Multivariate analysis
Financial market
Issue Date: 2018
Publisher: Centro de Investigación en Computación, IPN
Abstract: Regarding the problems related to multivariate non-Gaussianity of financial time series, i.e.,unreliable results in extraction of underlying risk factors - via Principal Component Analysis or Factor Analysis-, we use Independent Component Analysis (ICA) to estimate the pervasive risk factors that explain the returns on stocks in the Mexican Stock Exchange. The extracted systematic risk factors are considered within a statistical definition of the Arbitrage Pricing Theory (APT), which is tested by means of a two-stage econometric methodology. Using the extracted factors, we find evidence of a suitable estimation via ICA and some results in favor of the APT.
Note: Reproducció del document publicat a:
It is part of: Computación y Sistemas, 2018, vol. 22, num. 4, p. 1049-1064
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ISSN: 1405-5546
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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