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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.contributor.author | Ladrón de Guevara Cortés, Rogelio |
dc.contributor.author | Torra Porras, Salvador |
dc.contributor.author | Monte Moreno, Enrique |
dc.contributor.other | Universitat Politècnica de Catalunya. Departament de Teoria del Senyal i Comunicacions |
dc.date.accessioned | 2020-01-24T18:33:33Z |
dc.date.available | 2020-01-24T18:33:33Z |
dc.date.issued | 2018-01-01 |
dc.identifier.citation | Ladrón de Guevara, R.; Torra Porras, S.; Monte, E. 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. "Computación y sistemas", 1 Gener 2018, vol. 22, núm. 4, p. 1049-1064. |
dc.identifier.issn | 2007-9737 |
dc.identifier.uri | http://hdl.handle.net/2117/175732 |
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.language.iso | eng |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica |
dc.subject | Àrees temàtiques de la UPC::Informàtica |
dc.subject.lcsh | Mathematical statistics |
dc.subject.lcsh | Computer science |
dc.subject.other | Extraction techniques |
dc.subject.other | Underlying risk factors |
dc.subject.other | Independent component analysis |
dc.subject.other | Arbitrage pricing theory |
dc.subject.other | Mexican stock exchange |
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 | Article |
dc.subject.lemac | Estadística matemàtica |
dc.subject.lemac | Informàtica |
dc.contributor.group | Universitat Politècnica de Catalunya. VEU - Grup de Tractament de la Parla |
dc.identifier.doi | 10.13053/CyS-22-4-3083 |
dc.description.peerreviewed | Peer Reviewed |
dc.relation.publisherversion | http://www.cys.cic.ipn.mx/ojs/index.php/CyS/article/view/3083/0 |
dc.rights.access | Open Access |
local.identifier.drac | 25815141 |
dc.description.version | Postprint (published version) |
local.citation.author | Ladrón de Guevara, R.; Torra Porras, Salvador; Monte, E. |
local.citation.publicationName | Computación y sistemas |
local.citation.volume | 22 |
local.citation.number | 4 |
local.citation.startingPage | 1049 |
local.citation.endingPage | 1064 |
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