Extracting Conditionally Heteroskedastic Components using Independent Component Analysis
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DOI: 10.1111/jtsa.12505
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- Nordhausen, Klaus & Ruiz-Gazen, Anne, 2021. "On the usage of joint diagonalization in multivariate statistics," TSE Working Papers 21-1268, Toulouse School of Economics (TSE).
- Klaus Nordhausen & Anne Ruiz-Gazen, 2022. "On the usage of joint diagonalization in multivariate statistics," Post-Print hal-04296111, HAL.
- Marc Hallin & Simos Meintanis & Klaus Nordhausen, 2024. "Consistent Distribution–Free Affine–Invariant Tests for the Validity of Independent Component Models," Working Papers ECARES 2024-04, ULB -- Universite Libre de Bruxelles.
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