RT Report
T1 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
A1 McAleer, Michael
AB 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.
SN 2341-2356
YR 2014
FD 2014-06
LK https://hdl.handle.net/20.500.14352/41586
UL https://hdl.handle.net/20.500.14352/41586
LA eng
DS Docta Complutense
RD 14 may 2026