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Value at Risk Estimation Using Independent Component Analysis-generalized Autoregressive Conditional Heteroscedasticity (ica-garch) Models

Edmond H. C. Wu, Philip L. H. Yu, W. K. Li. Value at Risk Estimation Using Independent Component Analysis-generalized Autoregressive Conditional Heteroscedasticity (ica-garch) Models. Int. J. Neural Syst., 16(5):371-382, 2006. [doi]

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