Arbeitspapier
Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper; No. 14-025/III
Bezug (was)
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Large Data Sets: Modeling and Analysis
Financial Econometrics
International Finance Forecasting and Simulation: Models and Applications
Principal Component Analysis
Principal Volatility Component Analysis
Vector time-varying conditional heteroskedasticity
BEKK
DCC
asymptotic properties
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Large Data Sets: Modeling and Analysis
Financial Econometrics
International Finance Forecasting and Simulation: Models and Applications
Principal Component Analysis
Principal Volatility Component Analysis
Vector time-varying conditional heteroskedasticity
BEKK
DCC
asymptotic properties
Beteiligte Personen und Organisationen
McAleer, Michael
Amsterdam and Rotterdam: Tinbergen Institute
Amsterdam and Rotterdam: Tinbergen Institute
Erschienen
Amsterdam and Rotterdam: Tinbergen Institute
- Rechteinformation
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft
- Letzte Aktualisierung
-
18.10.2021, 08:57 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- McAleer, Michael
- Amsterdam and Rotterdam: Tinbergen Institute
Entstanden
- Amsterdam and Rotterdam: Tinbergen Institute
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