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

fYear

2006

fDate

13-16 Aug. 2006

Firstpage

2358

Lastpage

2362

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Machine Learning and Cybernetics, 2006 International Conference on

Conference_Location

Dalian, China

Print_ISBN

1-4244-0061-9

Type

conf

DOI

10.1109/ICMLC.2006.258725

Filename

4028459