Statistical and computational techniques for extraction of underlying systematic risk factors: a comparative in the Mexican stock exchange
This paper compares the dimension reduction or feature extraction techniques, e.g., Principal Component Analysis, Factor Analysis, Independent Component Analysis and Neural Networks Principal Component Analysis, which are used as techniques for extracting the underlying systematic risk factors driv...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Spanish |
| Published: |
Universidad Católica de Colombia
2021-08-01
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| Series: | Revista Finanzas y Política Económica |
| Subjects: | |
| Online Access: | https://revfinypolecon.ucatolica.edu.co/article/view/3740 |