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

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  • Michael McAleer

    (College of Technology Management, National Tsing Hua University, Taiwan; Econometric Institute, Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain)

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    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.

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    Bibliographic Info

    Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 14-025/III.

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    Date of creation: 25 Feb 2014
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    Handle: RePEc:dgr:uvatin:20140025

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    Web page: http://www.tinbergen.nl

    Related research

    Keywords: Principal Component Analysis; Principal Volatility Component Analysis; Vector time-varying conditional heteroskedasticity; BEKK; DCC; asymptotic properties;

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    References

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    1. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(3), pages 339-50, July.
    2. Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 26(4), pages 736-751, 09.
    3. Jeantheau, Thierry, 1998. "Strong Consistency Of Estimators For Multivariate Arch Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 14(01), pages 70-86, February.
    4. Comte, F. & Lieberman, O., 2003. "Asymptotic theory for multivariate GARCH processes," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 84(1), pages 61-84, January.
    5. Massimiliano Caporin & Michael McAleer, 2008. "Scalar BEKK and indirect DCC," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 27(6), pages 537-549.
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