Search Results - subject:"Principal Volatility Component Analysis"

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

McAleer, Michael - 2014

This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key …

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

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

McAleer, Michael - Tinbergen Instituut - 2014

This note discusses some aspects of the paper by Hu and Tsay (2014), “Principal Volatility Component Analysis”. The key …

Persistent link: https://www.econbiz.de/10011257320

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

McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2014

This note discusses some aspects of the paper by Hu and Tsay (2014), “Principal Volatility Component Analysis”. The key …

Persistent link: https://www.econbiz.de/10010795051

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

McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2014

__Abstract__ 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 …

Persistent link: https://www.econbiz.de/10011149300