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Volatility Modelling of Multivariate Financial Time Series by Using ICA-GARCH Models

Edmond H. C. Wu, Philip L. H. Yu. Volatility Modelling of Multivariate Financial Time Series by Using ICA-GARCH Models. In Marcus Gallagher, James M. Hogan, Frédéric Maire, editors, Intelligent Data Engineering and Automated Learning - IDEAL 2005, 6th International Conference, Brisbane, Australia, July 6-8, 2005, Proceedings. Volume 3578 of Lecture Notes in Computer Science, pages 571-579, Springer, 2005. [doi]

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Edmond H. C. Wu

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Philip L. H. Yu

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