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

Michael McAleer

No EI 2014-06, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

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.

Keywords: principal component analysis; principal volatility component analysis; vector time-varying conditional heteroskedasticity; BEKK; DCC; asymptotic properties (search for similar items in EconPapers)
JEL-codes: C32 C5 C50 C55 F37 (search for similar items in EconPapers)
Date: 2014-02-01
New Economics Papers: this item is included in nep-ore
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https://repub.eur.nl/pub/50642/EI2014-06-1-.pdf (application/pdf)

Related works:
Working Paper: Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay (2014)
Working Paper: Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay (2014)
Working Paper: Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay (2014)
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