Resumen de 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 covariance and correlation models.
