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

Ladrón de Guevara Cortés, RogelioTorra Porras, SalvadorMonte Moreno, Enric2020-05-222020-05-2220181405-5546https://hdl.handle.net/2445/162077Regarding 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.16 p.application/pdfeng(c) Centro de Investigación en Computación, IPN, 2018Risc (Economia)Arbitratge (Borsa)Anàlisi multivariableMercat financerRiskArbitrageMultivariate analysisFinancial marketExtraction of the underlying structure of systematic risk from Non-Gaussian multivariate financial time series using Independent Component Analysis. Evidence from the Mexican Stock Exchangeinfo:eu-repo/semantics/article6851622020-05-22info:eu-repo/semantics/openAccess