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:	2014-02-25
Authors:	McAleer, Michael
Institutions:	Tinbergen Instituut
Subject:	Principal Component Analysis \| Principal Volatility Component Analysis \| Vector time-varying conditional heteroskedasticity \| BEKK \| DCC \| asymptotic properties

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 14-025/III
Classification:	C32 - Time-Series Models ; c58 ; F37 - International Finance Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011257320