Independent Factor Autoregressive Conditional Density Model
Year of publication: |
2012-11
|
---|---|
Authors: | Ghalanos, Alexios ; Rossi, Eduardo ; Urga, Giovanni |
Institutions: | Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia |
Subject: | Independent Factor Model | GO-GARCH | Independent Component Analysis | Timevarying Co-moments |
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