Universidad Complutense de Madrid
E-Prints Complutense

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

Impacto

Downloads

Downloads per month over past year



McAleer, Michael (2014) Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 18, 2014, ISSN: 2341-2356 ] (Unpublished)

[img]
Preview
PDF
Creative Commons Attribution Non-commercial.

105kB

Official URL: http://eprints.ucm.es/26207/




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.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Principal Component Analysis, Principal Volatility Component Analysis, Vector time-varying conditional heteroskedasticity, BEKK, DCC, asymptotic properties.
Subjects:Social sciences > Economics > Econometrics
JEL:C32, C55, C58, F37
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2014
Number:18
ID Code:26207
Deposited On:08 Jul 2014 11:32
Last Modified:08 Jul 2014 11:32

Origin of downloads

Repository Staff Only: item control page