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

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, Enric Risc (Economia) Arbitratge (Borsa) Anàlisi multivariable Mercat financer Risk Arbitrage Multivariate analysis Financial market 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. 2020-05-22T19:06:54Z 2020-05-22T19:06:54Z 2018 2020-05-22T19:06:55Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 1405-5546 https://hdl.handle.net/2445/162077 685162 eng Reproducció del document publicat a: https://doi.org/10.13053/CyS-22-4-3083 Computación y Sistemas, 2018, vol. 22, num. 4, p. 1049-1064 https://doi.org/10.13053/CyS-22-4-3083 (c) Centro de Investigación en Computación, IPN, 2018 info:eu-repo/semantics/openAccess 16 p. application/pdf Centro de Investigación en Computación, IPN Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)