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

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dc.contributor.authorMcAleer, M.
dc.date.accessioned2015-01-18T22:28:18Z
dc.date.available2015-01-18T22:28:18Z
dc.date.issued2014en
dc.description.abstractThis 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.en
dc.identifier.citationHu, Y-P., Tsay, R., McAleer, M., (2014) Principal Volatility Component Analysis. University of Canterbury. 5pp..en
dc.identifier.urihttp://hdl.handle.net/10092/10053
dc.language.isoen
dc.publisherUniversity of Canterbury. Department of Economics and Financeen
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectPrincipal Component Analysisen
dc.subjectPrincipal Volatility Component Analysisen
dc.subjectVector time-varying conditional heteroskedasticityen
dc.subjectBEKKen
dc.subjectDCCen
dc.subjectasymptotic propertiesen
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk managementen
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3501 - Accounting, auditing and accountability::350103 - Financial accountingen
dc.titleDiscussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsayen
dc.typeDiscussion / Working Papers
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