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http://hdl.handle.net/2445/162077
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DC Field | Value | Language |
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dc.contributor.author | Ladrón de Guevara Cortés, Rogelio | - |
dc.contributor.author | Torra Porras, Salvador | - |
dc.contributor.author | Monte Moreno, Enric | - |
dc.date.accessioned | 2020-05-22T19:06:54Z | - |
dc.date.available | 2020-05-22T19:06:54Z | - |
dc.date.issued | 2018 | - |
dc.identifier.issn | 1405-5546 | - |
dc.identifier.uri | http://hdl.handle.net/2445/162077 | - |
dc.description.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. | - |
dc.format.extent | 16 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Centro de Investigación en Computación, IPN | - |
dc.relation.isformatof | Reproducció del document publicat a: https://doi.org/10.13053/CyS-22-4-3083 | - |
dc.relation.ispartof | Computación y Sistemas, 2018, vol. 22, num. 4, p. 1049-1064 | - |
dc.relation.uri | https://doi.org/10.13053/CyS-22-4-3083 | - |
dc.rights | (c) Centro de Investigación en Computación, IPN, 2018 | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Arbitratge (Borsa) | - |
dc.subject.classification | Anàlisi multivariable | - |
dc.subject.classification | Mercat financer | - |
dc.subject.other | Risk | - |
dc.subject.other | Arbitrage | - |
dc.subject.other | Multivariate analysis | - |
dc.subject.other | Financial market | - |
dc.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 | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 685162 | - |
dc.date.updated | 2020-05-22T19:06:55Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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685162.pdf | 601.32 kB | Adobe PDF | View/Open |
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