Dynamic Score-Driven Independent Component Analysis

نویسندگان

چکیده

A model for dynamic independent component analysis is introduced where the dynamics are driven by score of pseudo likelihood with respect to rotation angle innovations. While conditional second moments invariant rotations, higher not, which may have important implications applications. The maximum estimator shown be consistent and asymptotically normally distributed. simulation study reports good finite sample properties estimator, including case a misspecification innovation density. In an application bivariate exchange rate series Euro British Pound against U.S. Dollar, it that model-implied portfolio kurtosis largely aligns narratives on financial stress as result global crisis in 2008, European sovereign debt (2010–2013) early rumors signalling United Kingdom leave Union (2017). These insights recently proposed associates geopolitical risk factor.

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ژورنال

عنوان ژورنال: Journal of Business & Economic Statistics

سال: 2022

ISSN: ['1537-2707', '0735-0015']

DOI: https://doi.org/10.1080/07350015.2021.2013244