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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 [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 18, 2014, ISSN: 2341-2356 ] (Unpublished)
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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 |
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