Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay (2014)
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.
CitationHu, Y-P., Tsay, R., McAleer, M., (2014) Principal Volatility Component Analysis. University of Canterbury. 5pp..
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KeywordsPrincipal Component Analysis; Principal Volatility Component Analysis; Vector time-varying conditional heteroskedasticity; BEKK; DCC; asymptotic properties
ANZSRC Fields of Research35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk management
35 - Commerce, management, tourism and services::3501 - Accounting, auditing and accountability::350103 - Financial accounting
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