Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay

This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying conditional covariance and correlation models.

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Year of publication:	2014
Authors:	McAleer, Michael
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Principal Component Analysis \| Principal Volatility Component Analysis \| Vector time-varying conditional heteroskedasticity \| BEKK \| DCC \| asymptotic properties

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Series:	Tinbergen Institute Discussion Paper ; 14-025/III
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	779876296 [GVK] hdl:10419/98902 [Handle] RePEc:dgr:uvatin:20140025 [RePEc]
Classification:	C32 - Time-Series Models ; c55 ; c58 ; F37 - International Finance Forecasting and Simulation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010377227

Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay

Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay