Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay

__Abstract__ 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 ti...

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Bibliographic Details
Published in	IDEAS Working Paper Series from RePEc
Main Author	McAleer, MJ
Format	Paper
Language	English
Published	St. Louis Federal Reserve Bank of St. Louis 01.01.2014
Online Access	Get full text

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Summary:	__Abstract__ 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.