Independent Factor Autoregressive Conditional Density Model

DOI10.1080/07474938.2013.808561zbMath1491.62157OpenAlexW2124149416MaRDI QIDQ5863555

Eduardo Rossi, Alexios Ghalanos, Giovanni Urga

Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/16373/1/Ghalanos%20%26%20Rossi%20%26%20Urga%20%282014%2C%20manuscript%20accepted%29.pdf

zbMATH Keywords

independent component analysisGO-GARCHindependent factor modeltime-varying co-moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (4)

A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios ⋮ Nearest comoment estimation with unobserved factors ⋮ Reconciling mean-variance portfolio theory with non-Gaussian returns ⋮ Optimal Portfolio Diversification via Independent Component Analysis

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