Template-Type: ReDIF-Paper 1.0
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Title: Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
Abstract: __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 caveats are given about multivariate models of time-varying conditional covariance and correlation models.
Creation-Date: 2014-02-01
File-URL: https://repub.eur.nl/pub/50642/EI2014-06-1-.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2014-06
Classification-JEL: C32, C50, C5, F37, C55
Keywords: principal component analysis, principal volatility component analysis, vector time-varying conditional heteroskedasticity, BEKK, DCC, asymptotic properties
Handle: RePEc:ems:eureir:50642