Extracting conditionally heteroskedastic components using independent component analysis (Q5111846)
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scientific article; zbMATH DE number 7205122
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| 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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0.7745379209518433
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0.7574175000190735
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0.7514438033103943
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0.7497118711471558
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0.7470389604568481
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