Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
Year of publication: |
2014-02-25
|
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Authors: | McAleer, Michael |
Institutions: | Tinbergen Instituut |
Subject: | Principal Component Analysis | Principal Volatility Component Analysis | Vector time-varying conditional heteroskedasticity | BEKK | DCC | asymptotic properties |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 14-025/III |
Classification: | C32 - Time-Series Models ; c58 ; F37 - International Finance Forecasting and Simulation |
Source: |
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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael, (2014)
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Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
McAleer, Michael, (2014)
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Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael, (2014)
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