Showing 1 - 10 of 166
Persistent link: https://www.econbiz.de/10009765832
Persistent link: https://www.econbiz.de/10009747199
Persistent link: https://www.econbiz.de/10009723145
Persistent link: https://www.econbiz.de/10009724687
Persistent link: https://www.econbiz.de/10009755013
Persistent link: https://www.econbiz.de/10010354359
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...
Persistent link: https://www.econbiz.de/10010250536
Persistent link: https://www.econbiz.de/10010348324
Persistent link: https://www.econbiz.de/10010359780
Persistent link: https://www.econbiz.de/10001466804