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

Michael McAleer

No 2014-18, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

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 eteroskedasticity; BEKK, DCC, Asymptotic properties. (search for similar items in EconPapers)
JEL-codes: C32 C55 C58 F37 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2014-06
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https://eprints.ucm.es/id/eprint/26207/1/1418.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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