ESTIMATION FOR CONDITIONAL HIGHER MOMENTS RISK BASED ON INDEPENDENT COMPONENT ANALYSIS

摘要：

With the development of the theory and practice in finance, higher moments risk has come to peoples attention.Higher moments risk has the time-varying character, which is similar to the character of the second moment risk, i.e.variance risk. To reveal the relationship between higher moments risk in different markets or different financial assets at the same time, multivariate GARCHSK model is proposed in the paper. Estimation method for multivariate higher moments risk, which solved the problem of dimension disaster in multivariate GARCHSK modeling, is discussed in detail through Independent Component Analysis. Finally, the method is applied to describe the conditional higher moments risk in international stock markets.

关键词： Higher moments risk multivariate GARCHSK model Independent Component Analysis

作者: QI-FA XU CUI-XIA JIANG

作者单位: School of Statistics, Shandong Institute of Business and Technology, Yantai 264005, China

会议类型: 国际会议

会议名称: 2006 International Conference on Machine Learning and Cybernetics(IEEE第五届机器学习与控制论坛)

会议地点: 大连

会议语种:英文

页码: 2358-2362

在线出版日期: 2006-08-13（万方平台首次上网日期，不代表论文的发表时间）