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

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2014

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https://hdl.handle.net/20.500.14352/41586

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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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Econometría (Economía)

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5302 Econometría

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