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http://hdl.handle.net/2445/162077
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 Risk Arbitrage 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: https://doi.org/10.13053/CyS-22-4-3083 |
It is part of: | Computación y Sistemas, 2018, vol. 22, num. 4, p. 1049-1064 |
URI: | http://hdl.handle.net/2445/162077 |
Related resource: | https://doi.org/10.13053/CyS-22-4-3083 |
ISSN: | 1405-5546 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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