Independent component analysis for realized volatility: Analysis of the stock market crash of 2008

Alexander, C. (2000). Orthogonal methods for generating large positive semi-definite covariance matrices. Discussion papers in finance 2000–2006. ISMA Centre. Back, 1997, A first application of independent component analysis to extracting structure from stock returns, International Journal of Neural Systems, 8, 473, 10.1142/S0129065797000458 Bauwens, 2006, Multivariate GARCH models: A survey, Journal of Applied Econometrics, 21, 79, 10.1002/jae.842 Black, 1972, Capital market equilibrium with restricted borrowing, Journal of Business, 45, 444, 10.1086/295472 Bollerslev, 1986, Generalized autoregressive conditional heteroscedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1 Bollerslev, 1987, A conditionally heteroskedastic time series model for speculative prices and rates of return, Review of Economics and Statistics, 69, 542, 10.2307/1925546 Bollerslev, 1988, Capital asset pricing model with time-varying covariances, Journal of Political Economy, 96, 116, 10.1086/261527 Burns, P. (2005). Multivariate GARCH with only univariate estimation. Accessed at: http://www.burns-stat.com Cha, 2000, Applying independent component analysis to factor model in finance, 538 Chang, B. -Y., Christoffersen, P. F., Jacobs, K., & Vainberg, G. (2009). Option-implied measures of equity risk, updated from forward-looking betas. Presented at the AFA and EFA annual meetings. McGill University. Chen, R.-B., Guo, M., Härdle, W. K., & Haung S. -F. (2008). Independent component analysis via copula techniques. SFB 649 discussion paper 2008-004. Chen, 2010, GHICA – Risk analysis with GH distributions and independent components, Journal of Empirical Finance, 1, 255, 10.1016/j.jempfin.2009.09.005 Driessen, 2010, The price of correlation risk: Evidence from equity options, Journal of Finance, 64, 1377, 10.1111/j.1540-6261.2009.01467.x Engle, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987, 10.2307/1912773 Engle, 2002, Dynamic conditional correlation: A simple class of multivariate GARCH models, Journal of Business and Economic Statistics, 20, 339, 10.1198/073500102288618487 Fama, 1965, The behavior of stock market returns, Journal of Business, 38, 34, 10.1086/294743 García-Ferrer, A., González-Prieto, E., & Peña, D. (2008). A multivariate generalized independent factor GARCH model with an application to financial stock returns. Statistics and econometrics working papers. Universidad Carlos III, Departamento de Estadística y Econometría. Green, 2002, PCA-preprocessing of fMRI data adversely affects the results of ICA, 10 Heynen, 1994, Analysis of the term structure of implied volatilities, Journal of Financial and Quantitative Analysis, 29, 31, 10.2307/2331189 Hyvärinen, 1999, Fast and robust fixed-point algorithms for independent component analysis, IEEE Transactions on Neural Networks, 10, 626, 10.1109/72.761722 Hyvärinen, 2001 Hyvärinen, 2000, Independent component analysis: Algorithms and applications, Neural Networks, 13, 411, 10.1016/S0893-6080(00)00026-5 Karolyi, 1996, Why do markets move together? An investigation of US–Japan stock return comovements, Journal of Finance, 51, 951, 10.2307/2329228 Kiviluoto, 1998 Koulakiotis, 2006, More evidence on the relationship between stock price returns and volatility: A note, International Research Journal of Finance and Economics, 21 Ledoit, 2003, Flexible multivariate GARCH modeling with an application to international stock markets, Review of Economics and Statistics, 85, 735, 10.1162/003465303322369858 Mandelbrot, 1963, The variation of certain speculative prices, Journal of Business, 59, 347 Nelson, 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 59, 347, 10.2307/2938260 Penny, 2000, ICA: Model-order selection and dynamic source models, 299 Stone, 2004 Van der Weide, 2002, GO-GARCH: A multivariate generalized orthogonal GARCH model, Journal of Applied Econometrics, 17, 549, 10.1002/jae.688 Wu, 2006, Value at risk estimation using ICA-GARCH models, International Journal of Neural Systems, 16, 371, 10.1142/S0129065706000779 Xu, D., & Wirjanto, T. S. (2009). Computation of portfolio VaRs with GARCH models using independent component analysis. Working paper. University of Waterloo. Zhu, D., & Galbraith, J. (2009). Forecasting expected shortfall with a generalized asymmetric student-t distribution. CIRAO Working Papers 2009s-24. CIRAO.