García-Ferrer, Antonio; González-Prieto, Ester; … - In: International Journal of Forecasting 28 (2012) 1, pp. 70-93
We propose a new conditionally heteroskedastic factor model, the GICA-GARCH model, which combines independent component analysis (ICA) and multivariate GARCH (MGARCH) models. This model assumes that the data are generated by a set of underlying independent components (ICs) that capture the...