Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
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...
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| Tipo de documento: | relatório científico |
| Data de publicação: | 2014 |
| País: | España |
| Recursos: | Universidad Complutense de Madrid (UCM) |
| Repositório: | Docta Complutense |
| Idioma: | inglês |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/41586 |
| Acesso em linha: | https://hdl.handle.net/20.500.14352/41586 |
| Access Level: | Acceso aberto |
| Palavra-chave: | C32 C55 C58 F37 Principal Component Analysis Principal Volatility Component Analysis Vector time-varying conditional heteroskedasticity BEKK DCC asymptotic properties. Econometría (Economía) 5302 Econometría |
| Resumo: | 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. |
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