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

• Autores: Michael McAleer
• Localización: Documentos de Trabajo (ICAE), ISSN-e 2341-2356, Nº. 18, 2014, págs. 1-8
• Idioma: inglés
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• Resumen

  • 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.