Volatility modelling of multivariate financial time series by using ICA-GARCH models

Lecture Notes in Computer Science

Volumn 3578, Issue , 2005, Pages 571-579

  Wu, Edmond H C ^a   Yu, Philip L H ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Financial Engineering; GARCH; ICA; Multivariate Time Series; Volatility

Indexed keywords

INDEPENDENT COMPONENT ANALYSIS; MATHEMATICAL MODELS; PROBLEM SOLVING; RISK MANAGEMENT;

FINANCIAL ENGINEERING; GARCH; MULTIVARIATE TIME SERIES; VOLTALITY;

TIME SERIES ANALYSIS;

EID: 26444479340     PISSN: 03029743     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1007/11508069_74     Document Type: Conference Paper

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