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

• 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

__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...