{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,3,19]],"date-time":"2024-03-19T15:46:01Z","timestamp":1710863161283},"reference-count":10,"publisher":"World Scientific Pub Co Pte Lt","issue":"05","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Int. J. Neur. Syst."],"published-print":{"date-parts":[[2006,10]]},"abstract":"<jats:p> We suggest using independent component analysis (ICA) to decompose multivariate time series into statistically independent time series. Then, we propose to use ICA-GARCH models which are computationally efficient to estimate the multivariate volatilities. The experimental results show that the ICA-GARCH models are more effective than existing methods, including DCC, PCA-GARCH, and EWMA. We also apply the proposed models to compute value at risk (VaR) for risk management applications. The backtesting and the out-of-sample tests validate the performance of ICA-GARCH models for value at risk estimation. <\/jats:p>","DOI":"10.1142\/s0129065706000779","type":"journal-article","created":{"date-parts":[[2006,11,17]],"date-time":"2006-11-17T05:54:21Z","timestamp":1163742861000},"page":"371-382","source":"Crossref","is-referenced-by-count":13,"title":["VALUE AT RISK ESTIMATION USING INDEPENDENT COMPONENT ANALYSIS-GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (ICA-GARCH) MODELS"],"prefix":"10.1142","volume":"16","author":[{"given":"EDMOND H. C.","family":"WU","sequence":"first","affiliation":[{"name":"Department of Statistics &amp; Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"PHILIP L. H.","family":"YU","sequence":"additional","affiliation":[{"name":"Department of Statistics &amp; Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"W. K.","family":"LI","sequence":"additional","affiliation":[{"name":"Department of Statistics &amp; Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"219","published-online":{"date-parts":[[2011,11,21]]},"reference":[{"key":"rf1","volume-title":"Mastering Risk","volume":"2","author":"Alexander C. O.","year":"2001"},{"key":"rf2","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"rf3","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"rf4","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1684(94)90029-9"},{"key":"rf5","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"rf6","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"rf7","doi-asserted-by":"publisher","DOI":"10.1109\/72.761722"},{"key":"rf8","doi-asserted-by":"publisher","DOI":"10.1162\/neco.1997.9.7.1483"},{"key":"rf9","first-page":"297","volume":"67","author":"Ljung G.","journal-title":"Biometrika"},{"key":"rf10","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2005.02.001"}],"container-title":["International Journal of Neural Systems"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.worldscientific.com\/doi\/pdf\/10.1142\/S0129065706000779","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,6]],"date-time":"2019-08-06T22:07:00Z","timestamp":1565129220000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.worldscientific.com\/doi\/abs\/10.1142\/S0129065706000779"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2006,10]]},"references-count":10,"journal-issue":{"issue":"05","published-online":{"date-parts":[[2011,11,21]]},"published-print":{"date-parts":[[2006,10]]}},"alternative-id":["10.1142\/S0129065706000779"],"URL":"https:\/\/doi.org\/10.1142\/s0129065706000779","relation":{},"ISSN":["0129-0657","1793-6462"],"issn-type":[{"value":"0129-0657","type":"print"},{"value":"1793-6462","type":"electronic"}],"subject":[],"published":{"date-parts":[[2006,10]]}}}