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Extracting Conditionally Heteroskedastic Components using Independent Component Analysis
Miettinen, Jari, Matilainen, Markus, Nordhausen, Klaus, Taskinen, SaraVolume:
41
Journal:
Journal of Time Series Analysis
DOI:
10.1111/jtsa.12505
Date:
March, 2020
File:
PDF, 325 KB
2020