Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
Type of content
Discussion / Working Papers
UC permalink
Publisher's DOI/URI
Thesis discipline
Degree name
Publisher
University of Canterbury. Department of Economics and Finance
Journal Title
Journal ISSN
Volume Title
Language
Date
2014
Authors
McAleer, M.
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.
Description
Citation
Hu, Y-P., Tsay, R., McAleer, M., (2014) Principal Volatility Component Analysis. University of Canterbury. 5pp..
Keywords
Principal Component Analysis, Principal Volatility Component Analysis, Vector time-varying conditional heteroskedasticity, BEKK, DCC, asymptotic properties
Ngā upoko tukutuku/Māori subject headings
ANZSRC fields of research
Fields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk management
Fields of Research::35 - Commerce, management, tourism and services::3501 - Accounting, auditing and accountability::350103 - Financial accounting
Fields of Research::35 - Commerce, management, tourism and services::3501 - Accounting, auditing and accountability::350103 - Financial accounting