Portfolio value at risk based on independent component analysis

DOI10.1016/J.CAM.2006.05.016MaRDI QIDQ2372954zbMATH OpenOpenAlexFDO

Authors Ying Chen, Wolfgang K. Härdle, V. G. Spokoiny

Publication date 17 July 2007

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2006.05.016

zbMATH Keywords

independent component analysisvalue at risk

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12)

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Cites work

• A Saddle Point Approximation for Certain Multivariate Tail Probabilities
• scientific article; zbMATH DE number 3770749 (Why is no real title available?)
• scientific article; zbMATH DE number 107482 (Why is no real title available?)
• scientific article; zbMATH DE number 1780436 (Why is no real title available?)
• scientific article; zbMATH DE number 1390900 (Why is no real title available?)
• Statistical inference for time-inhomogeneous volatility models.
• What is Projection Pursuit?

Cited in

(14)

• TVICA -- time varying independent component analysis and its application to financial data
• Simulation and evaluation of the distribution of interest rate risk
• Separation of uncorrelated stationary time series using autocovariance matrices
• Deflation-based separation of uncorrelated stationary time series
• PRINCIPAL COMPONENT VALUE AT RISK
• The DNA of security return
• Independent Component Analysis and Immunization: An Exploratory Study
• Optimal portfolio diversification via independent component analysis
• Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach
• ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
• scientific article; zbMATH DE number 5060255 (Why is no real title available?)
• Algorithmic Applications in Management
• Independent Factor Autoregressive Conditional Density Model
• New independent component analysis tools for time series

Describes a project that uses

Uses Software

• FMRLAB
• FastICA

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