Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/98902
Authors: 
McAleer, Michael
Year of Publication: 
2014
Series/Report no.: 
Tinbergen Institute Discussion Paper 14-025/III
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.
Subjects: 
Principal Component Analysis
Principal Volatility Component Analysis
Vector time-varying conditional heteroskedasticity
BEKK
DCC
asymptotic properties
JEL: 
C32
C55
C58
F37
Document Type: 
Working Paper

Files in This Item:
File
Size
72.58 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.