The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysiscan be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...

We study probabilities which determine the payo of barrier options:the probability that an asset hits a barrier before maturity, theprobability that the asset is below the barrier at maturity, and theratio of both probabilities. The correct estimation of these probabilitieshas crucial eects on...