The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript 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...

A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use...

A fast method is developed for value at risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry, and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves use of...

Foster and Hart proposed an operational measure of riskiness for discrete random variables. We show that their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many...

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...

Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many continuous random variables, the...

The CCC-GARCH model, and its dynamic correlation extensions, form the most important model class for multivariate asset returns. For multivariate density and portfolio risk forecasting, a drawback of these models is the underlying assumption of Gaussianity. This paper considers the so-called...