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.

Additional Metadata
Keywords principal component analysis, principal volatility component analysis, vector time-varying conditional heteroskedasticity, BEKK, DCC, asymptotic properties
JEL Time-Series Models; Dynamic Quantile Regressions (jel C32), Econometric Modeling: General (jel C50), Econometric Modeling (jel C5), International Finance Forecasting and Simulation (jel F37), Large datasets: Modelling and Analysis (jel C55)
Persistent URL hdl.handle.net/1765/50642
Series Econometric Institute Research Papers
Note Rapport EI 2014-06
McAleer, M.J. (2014). Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay (No. EI 2014-06). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/50642