[HTML][HTML] Extraction of the underlying structure of systematic risk from non-Gaussian multivariate financial time series using independent component analysis: evidence …
R Ladrón de Guevara Cortés, S Torra Porras… - Computación y …, 2018 - scielo.org.mx
Regarding the problems related to multivariate non-Gaussianity of financial time series, ie,
unreliable results in extraction of underlying risk factors-via Principal Component Analysis or …
unreliable results in extraction of underlying risk factors-via Principal Component Analysis or …