Dynamic Score-Driven Independent Component Analysis

DOI10.1080/07350015.2021.2013244OpenAlexW4206809097MaRDI QIDQ6190328

Christian M. Hafner, Helmut Herwartz

Publication date: 5 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Dynamic_score_driven_independent_component_analysis/17129542

zbMATH Keywords

portfolio selectionrisk managementmultivariate GARCHstructural vector autoregressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Identification and estimation of non-Gaussian structural vector autoregressions
• Statistical inference for independent component analysis: application to structural VAR models
• An efficient DC programming approach for portfolio decision with higher moments
• Independent component analysis, a new concept?
• Dynamic Models for Volatility and Heavy Tails
• Dynamic Orthogonal Components for Multivariate Time Series
• Risk parity portfolios with risk factors
• Optimal Portfolio Diversification via Independent Component Analysis
• Structural Vector Autoregressive Analysis

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