In this paper, we explore the use of Independent Component Analysis (ICA) from the field of signal processing to model and estimate the dynamics of multivariate volatilities of financial asset returns in the GARCH framework. The resulting ICA-GARCH approach is shown to provide a computationally...

This paper constructs Value at Risk (VaR) measures from a stochastic volatility model with a discrete bivariate mixture-of-normal error distribution - henceforth SV-MN. This volatility-gnerating model is able to accommodate many of the salient features of financial asset returns, such as...

We study the problem of finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals with nonlinear loss function. The method has applications to any situation where marginals are provided, and bounds need to be determined on total portfolio risk....