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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 14-025/III
- Klassifikation
-
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
- Thema
-
Principal Component Analysis
Principal Volatility Component Analysis
Vector time-varying conditional heteroskedasticity
BEKK
DCC
asymptotic properties
- Ereignis
-
Geistige Schöpfung
- (wer)
-
McAleer, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- McAleer, Michael
- Tinbergen Institute
Entstanden
- 2014
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