Broda, Simon A.; Paolella, Marc S. - In: Journal of Financial Econometrics 7 (2009) 4, pp. 412-436
This paper shows how independent component analysis can be used to estimate the generalized orthogonal GARCH model in a fraction of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation structure from that of the univariate...