Dynamic Score-Driven Independent Component Analysis

DOI10.1080/07350015.2021.2013244MaRDI QIDQ6190328zbMATH OpenOpenAlexFDO

Authors Christian M. Hafner, Helmut Herwartz

Publication date 5 March 2024

Published in Journal of Business and 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

multivariate GARCHportfolio selectionrisk managementstructural vector autoregressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• An efficient DC programming approach for portfolio decision with higher moments
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Dynamic orthogonal components for multivariate time series
• scientific article; zbMATH DE number 3092905 (Why is no real title available?)
• Identification and estimation of non-Gaussian structural vector autoregressions
• Independent component analysis, a new concept?
• Optimal portfolio diversification via independent component analysis
• Risk parity portfolios with risk factors
• Statistical inference for independent component analysis: application to structural VAR models
• Structural vector autoregressive analysis

Cited in

(1)

• Time-varying shock transmission in non-Gaussian structural vector autoregressions

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