Arbeitspapier
Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 14-025/III
- Classification
-
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
- Subject
-
Principal Component Analysis
Principal Volatility Component Analysis
Vector time-varying conditional heteroskedasticity
BEKK
DCC
asymptotic properties
- Event
-
Geistige Schöpfung
- (who)
-
McAleer, Michael
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- McAleer, Michael
- Tinbergen Institute
Time of origin
- 2014
Other Objects (12)
Prevention is better than the cure: Risk management of COVID-19
The Fundamental Equation in Tourism Finance
The Journal of Risk and Financial Management in open access
Ten most highly cited papers in Journal of risk and financial management (JRFM), 2018-2020
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
The fundamental equation in tourism finance
Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
Asymmetry and leverage in conditional volatility models
Is one diagnostic test for COVID-19 enough?
Review papers for journal of risk and financial management (JRFM)
Asymmetry and Leverage in Conditional Volatility Models
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
Prevention is better than the cure: Risk management of COVID-19
The Fundamental Equation in Tourism Finance
The Journal of Risk and Financial Management in open access
Ten most highly cited papers in Journal of risk and financial management (JRFM), 2018-2020
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
The fundamental equation in tourism finance
Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
Asymmetry and leverage in conditional volatility models
Is one diagnostic test for COVID-19 enough?
Review papers for journal of risk and financial management (JRFM)
Asymmetry and Leverage in Conditional Volatility Models
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
Prevention is better than the cure: Risk management of COVID-19
The Fundamental Equation in Tourism Finance
The Journal of Risk and Financial Management in open access
Ten most highly cited papers in Journal of risk and financial management (JRFM), 2018-2020
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
The fundamental equation in tourism finance
Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
Asymmetry and leverage in conditional volatility models
Is one diagnostic test for COVID-19 enough?
Review papers for journal of risk and financial management (JRFM)
Asymmetry and Leverage in Conditional Volatility Models