We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs). This model applies independent component analysis (ICA) to search the conditionally heteroskedastic latent factors. We will use two ICA...

Studies on assessments of research performance in economic departments largely rely upon such bibliometric tools as impact factors to rank a short list of journals. In the present study, we examine the use of short lists of journals in order to assess research performance in Spain - a country...