{"id":"https://openalex.org/W1976855018","doi":"https://doi.org/10.1142/s0129065706000779","title":"VALUE AT RISK ESTIMATION USING INDEPENDENT COMPONENT ANALYSIS-GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (ICA-GARCH) MODELS","display_name":"VALUE AT RISK ESTIMATION USING INDEPENDENT COMPONENT ANALYSIS-GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (ICA-GARCH) MODELS","publication_year":2006,"publication_date":"2006-10-01","ids":{"openalex":"https://openalex.org/W1976855018","doi":"https://doi.org/10.1142/s0129065706000779","mag":"1976855018","pmid":"https://pubmed.ncbi.nlm.nih.gov/17117498"},"language":"en","primary_location":{"id":"doi:10.1142/s0129065706000779","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0129065706000779","pdf_url":null,"source":{"id":"https://openalex.org/S197665576","display_name":"International Journal of Neural Systems","issn_l":"0129-0657","issn":["0129-0657","1793-6462"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Neural Systems","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","pubmed"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5032306211","display_name":"Edmond H. C. Wu","orcid":"https://orcid.org/0000-0002-9286-5903"},"institutions":[{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"EDMOND H. C. WU","raw_affiliation_strings":["Department of Statistics &amp; Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China","Department of Statistics and Actuarial Science , The University of Hong Kong , Pokfulam Road, Hong Kong , China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics &amp; Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China","institution_ids":["https://openalex.org/I889458895"]},{"raw_affiliation_string":"Department of Statistics and Actuarial Science , The University of Hong Kong , Pokfulam Road, Hong Kong , China","institution_ids":["https://openalex.org/I889458895"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5018396769","display_name":"Philip L. H. Yu","orcid":"https://orcid.org/0000-0002-9449-0420"},"institutions":[{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"PHILIP L. H. YU","raw_affiliation_strings":["Department of Statistics &amp; Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China","Department of Statistics and Actuarial Science , The University of Hong Kong , Pokfulam Road, Hong Kong , China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics &amp; Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China","institution_ids":["https://openalex.org/I889458895"]},{"raw_affiliation_string":"Department of Statistics and Actuarial Science , The University of Hong Kong , Pokfulam Road, Hong Kong , China","institution_ids":["https://openalex.org/I889458895"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5109922419","display_name":"W. K. LI","orcid":null},"institutions":[{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"W. K. LI","raw_affiliation_strings":["Department of Statistics &amp; Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China","Department of Statistics and Actuarial Science , The University of Hong Kong , Pokfulam Road, Hong Kong , China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics &amp; Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China","institution_ids":["https://openalex.org/I889458895"]},{"raw_affiliation_string":"Department of Statistics and Actuarial Science , The University of Hong Kong , Pokfulam Road, Hong Kong , China","institution_ids":["https://openalex.org/I889458895"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.08689635,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"16","issue":"05","first_page":"371","last_page":"382"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11447","display_name":"Blind Source Separation Techniques","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T11447","display_name":"Blind Source Separation Techniques","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9958000183105469,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11871","display_name":"Advanced Statistical Methods and Models","score":0.9882000088691711,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.7919210195541382},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"Heteroscedasticity","score":0.7660426497459412},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.738613486289978},{"id":"https://openalex.org/keywords/independent-component-analysis","display_name":"Independent component analysis","score":0.7032215595245361},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.6352562308311462},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.5693878531455994},{"id":"https://openalex.org/keywords/ewma-chart","display_name":"EWMA chart","score":0.5217212438583374},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4788241684436798},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.43291962146759033},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.41595423221588135},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.39045247435569763},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.2424274981021881},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.19146519899368286},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.16822773218154907},{"id":"https://openalex.org/keywords/process","display_name":"Process (computing)","score":0.09054896235466003},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.07650795578956604},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.06612637639045715}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.7919210195541382},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.7660426497459412},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.738613486289978},{"id":"https://openalex.org/C51432778","wikidata":"https://www.wikidata.org/wiki/Q1259145","display_name":"Independent component analysis","level":2,"score":0.7032215595245361},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.6352562308311462},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.5693878531455994},{"id":"https://openalex.org/C74746147","wikidata":"https://www.wikidata.org/wiki/Q5324652","display_name":"EWMA chart","level":4,"score":0.5217212438583374},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4788241684436798},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.43291962146759033},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.41595423221588135},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.39045247435569763},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2424274981021881},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.19146519899368286},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.16822773218154907},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.09054896235466003},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.07650795578956604},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.06612637639045715},{"id":"https://openalex.org/C196985124","wikidata":"https://www.wikidata.org/wiki/Q1369242","display_name":"Control chart","level":3,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0}],"mesh":[{"descriptor_ui":"D003198","descriptor_name":"Computer Simulation","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D003198","descriptor_name":"Computer Simulation","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D003198","descriptor_name":"Computer Simulation","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D012306","descriptor_name":"Risk","qualifier_ui":null,"qualifier_name":null,"is_major_topic":false},{"descriptor_ui":"D012306","descriptor_name":"Risk","qualifier_ui":null,"qualifier_name":null,"is_major_topic":false},{"descriptor_ui":"D012306","descriptor_name":"Risk","qualifier_ui":null,"qualifier_name":null,"is_major_topic":false},{"descriptor_ui":"D012308","descriptor_name":"Risk Management","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D012308","descriptor_name":"Risk Management","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D012308","descriptor_name":"Risk Management","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D013997","descriptor_name":"Time Factors","qualifier_ui":null,"qualifier_name":null,"is_major_topic":false},{"descriptor_ui":"D013997","descriptor_name":"Time Factors","qualifier_ui":null,"qualifier_name":null,"is_major_topic":false},{"descriptor_ui":"D013997","descriptor_name":"Time Factors","qualifier_ui":null,"qualifier_name":null,"is_major_topic":false},{"descriptor_ui":"D015203","descriptor_name":"Reproducibility of Results","qualifier_ui":null,"qualifier_name":null,"is_major_topic":false},{"descriptor_ui":"D015203","descriptor_name":"Reproducibility of Results","qualifier_ui":null,"qualifier_name":null,"is_major_topic":false},{"descriptor_ui":"D015203","descriptor_name":"Reproducibility of Results","qualifier_ui":null,"qualifier_name":null,"is_major_topic":false},{"descriptor_ui":"D015999","descriptor_name":"Multivariate Analysis","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D015999","descriptor_name":"Multivariate Analysis","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D015999","descriptor_name":"Multivariate Analysis","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D016571","descriptor_name":"Neural Networks, Computer","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D016571","descriptor_name":"Neural Networks, Computer","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D016571","descriptor_name":"Neural Networks, Computer","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D017059","descriptor_name":"Models, Econometric","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D017059","descriptor_name":"Models, Econometric","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D017059","descriptor_name":"Models, Econometric","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true}],"locations_count":3,"locations":[{"id":"doi:10.1142/s0129065706000779","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0129065706000779","pdf_url":null,"source":{"id":"https://openalex.org/S197665576","display_name":"International Journal of Neural Systems","issn_l":"0129-0657","issn":["0129-0657","1793-6462"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Neural Systems","raw_type":"journal-article"},{"id":"pmid:17117498","is_oa":false,"landing_page_url":"https://pubmed.ncbi.nlm.nih.gov/17117498","pdf_url":null,"source":{"id":"https://openalex.org/S4306525036","display_name":"PubMed","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International journal of neural systems","raw_type":null},{"id":"pmh:oai:hub.hku.hk:10722/82886","is_oa":false,"landing_page_url":"http://hdl.handle.net/10722/82886","pdf_url":null,"source":{"id":"https://openalex.org/S4377196271","display_name":"The HKU Scholars Hub (University of Hong Kong)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I889458895","host_organization_name":"University of Hong Kong","host_organization_lineage":["https://openalex.org/I889458895"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W1727659491","https://openalex.org/W1979575715","https://openalex.org/W1999996900","https://openalex.org/W2019502123","https://openalex.org/W2063593194","https://openalex.org/W2067068472","https://openalex.org/W2099741732","https://openalex.org/W2141224535","https://openalex.org/W2423293082"],"related_works":["https://openalex.org/W1608601224","https://openalex.org/W2017138702","https://openalex.org/W1978494725","https://openalex.org/W2776656900","https://openalex.org/W2945893251","https://openalex.org/W2031589205","https://openalex.org/W3029813487","https://openalex.org/W2120387405","https://openalex.org/W3033433420","https://openalex.org/W930719696"],"abstract_inverted_index":{"We":[0,52],"suggest":[1],"using":[2],"independent":[3,14],"component":[4],"analysis":[5],"(ICA)":[6],"to":[7,20,28,58],"decompose":[8],"multivariate":[9,31],"time":[10,15],"series":[11],"into":[12],"statistically":[13],"series.":[16],"Then,":[17],"we":[18],"propose":[19],"use":[21],"ICA-GARCH":[22,39,78],"models":[23,40,57,79],"which":[24],"are":[25,41],"computationally":[26],"efficient":[27],"estimate":[29],"the":[30,38,55,71,75],"volatilities.":[32],"The":[33,68],"experimental":[34],"results":[35],"show":[36],"that":[37],"more":[42],"effective":[43],"than":[44],"existing":[45],"methods,":[46],"including":[47],"DCC,":[48],"PCA-GARCH,":[49],"and":[50,70],"EWMA.":[51],"also":[53],"apply":[54],"proposed":[56],"compute":[59],"value":[60,81],"at":[61,82],"risk":[62,65,83],"(VaR)":[63],"for":[64,80],"management":[66],"applications.":[67],"backtesting":[69],"out-of-sample":[72],"tests":[73],"validate":[74],"performance":[76],"of":[77],"estimation.":[84]},"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":2}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
