2026-04-17T10:15:26Zhttps://recercat.cat/oai/request

oai:recercat.cat:2445/1620772025-12-05T05:53:07Zcom_2072_1057col_2072_478808col_2072_478917

00925njm 22002777a 4500 dc Ladrón de Guevara Cortés, Rogelio author Torra Porras, Salvador author Monte Moreno, Enric author 2020-05-22T19:06:54Z 2020-05-22T19:06:54Z 2018 2020-05-22T19:06:55Z 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. Risc (Economia) Arbitratge (Borsa) Anàlisi multivariable Mercat financer Risk Arbitrage Multivariate analysis Financial market 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