Browsing by Author "Ladrón de Guevara Cortés, Rogelio"
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, Rogelio; Torra Porras, Salvador; Monte Moreno, Enrique (2018-01-01)
Open AccessRegarding 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 ...
Neural networks principal component analysis for estimating the generative multifactor model of returns under a statistical approach to the arbitrage pricing theory: Evidence from the mexican stock exchange Ladrón de Guevara Cortés, Rogelio; Torra Porras, Salvador; Monte Moreno, Enrique (2019-01-01)
Open AccessA nonlinear principal component analysis (NLPCA) represents an extension of the standard principal component analysis (PCA) that overcomes the limitation of the PCA’s assumption about the linearity of the model. The NLPCA ...