Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2014-02-25
Number: 14-025/III
Author-Name: Michael McAleer
Author-Workplace-Name: College of Technology Management, National Tsing Hua University, Taiwan; Econometric Institute, Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain
Title: Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
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.
Classification-JEL: C32, C55, C58, F37
Keywords: Principal Component Analysis, Principal Volatility Component Analysis, Vector time-varying conditional heteroskedasticity, BEKK, DCC, asymptotic properties
File-Url: https://papers.tinbergen.nl/14025.pdf
File-Format: application/pdf
File-Size: 74326 bytes
Handle: RePEc:tin:wpaper:20140025