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.
Rogelio Ladrón de Guevara CortésSalvador Torra PorrasEnric Monte-MorenoPublished in: Computación y Sistemas (2018)
Keyphrases
- stock exchange
- financial time series
- black scholes
- non stationary
- portfolio optimization
- multivariate time series
- stock market
- investment strategies
- stock price
- financial time series forecasting
- financial data
- turning points
- portfolio management
- autoregressive
- exchange rate
- stock returns
- information extraction
- short term
- factor analysis
- temporal data
- long term
- probabilistic model