Volatility Modelling of Multivariate Financial Time Series by Using ICA-GARCH Models.
Edmond H. C. WuPhilip L. H. YuPublished in: IDEAL (2005)
Keyphrases
- garch model
- multivariate time series
- financial time series
- stock market
- independent component analysis
- financial time series forecasting
- turning points
- temporal data
- stock exchange
- categorical data
- dimension reduction
- face recognition
- short term
- stock returns
- spatial structure
- preprocessing
- non stationary
- principal component analysis
- temporal patterns
- autoregressive