Extracting Conditionally Heteroskedastic Components using Independent Component Analysis (Q5111846)
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scientific article; zbMATH DE number 7205122
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extracting Conditionally Heteroskedastic Components using Independent Component Analysis |
scientific article; zbMATH DE number 7205122 |
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Extracting Conditionally Heteroskedastic Components using Independent Component Analysis (English)
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27 May 2020
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ARMA-GARCH process
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asymptotic normality
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autocorrelation
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blind source separation
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principal volatility component
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