Title :
Estimation for Conditional Higher Moments Risk Based on Independent Component Analysis
Author :
Xu, Qi-fa ; Jiang, Cui-xia
Author_Institution :
Sch. of Stat., Shandong Inst. of Bus. & Technol., Yantai
Abstract :
With the development of the theory and practice in finance, higher moments risk has come to people\´s 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
Keywords :
estimation theory; finance; independent component analysis; risk analysis; conditional higher moment risk; estimation method; financial assets; independent component analysis; international stock markets; multivariate GARCHSK model; variance risk; Covariance matrix; Cybernetics; Finance; Financial management; Forward contracts; Independent component analysis; Machine learning; Neural networks; Parameter estimation; Risk management; Statistical analysis; Stochastic processes; Stock markets; Yttrium; Higher moments risk; Independent Component Analysis; multivariate GARCHSK model;
Conference_Titel :
Machine Learning and Cybernetics, 2006 International Conference on
Conference_Location :
Dalian, China
Print_ISBN :
1-4244-0061-9
DOI :
10.1109/ICMLC.2006.258725
