McAleer, Michael2023-06-192023-06-192014-062341-2356https://hdl.handle.net/20.500.14352/41586This 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.engAtribución-NoComercial 3.0 Españahttps://creativecommons.org/licenses/by-nc/3.0/es/technical reporthttps://www.ucm.es/icaehttps://www.ucm.es/fundamentos-analisis-economico2/documentos-de-trabajo-del-icaeopen accessC32C55C58F37Principal Component AnalysisPrincipal Volatility Component AnalysisVector time-varying conditional heteroskedasticityBEKKDCCasymptotic properties.Econometría (Economía)5302 Econometría