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

McAleer, Michael - 2014

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...

Persistent link: https://www.econbiz.de/10010250536

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

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010348324

Discussion of "principal volatility component analysis" by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010359780

Diversifikationsstrategien in einem einheitlichen europäischen Finanzmarkt: empirische Befunde

Rehkugler, Heinz; Jandura, Dirk; Sayn-Wittgenstein, … - In: Globalisierung als Herausforderung der …, (pp. 191-216). 2000

Persistent link: https://www.econbiz.de/10001545871

Using principal component analysis to estimate a high dimensional factor model with high-frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399

Persistent link: https://www.econbiz.de/10011920525

Using principal component analysis to estimate a highdimensional factor model with high-frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - 2017

Persistent link: https://www.econbiz.de/10012806600

Multi-population modelling and forecasting life-table death counts

Shang, Han Lin; Haberman, Steven; Xu, Ruofan - In: Insurance / Mathematics & economics 106 (2022), pp. 239-253

Persistent link: https://www.econbiz.de/10013380527

Empirical evidence of joint nonlinearity in economic area and US economic variables using two modified multivariate nonlinearity tests

Vávra, Marián - In: Applied economics letters 22 (2015) 13/15, pp. 1094-1099

Persistent link: https://www.econbiz.de/10011312188

Predictive power of U.S. macroeconomic factors for the dollar/won real exchange rate

Behera, Sarthak; Kim, Hyeongwoo; Kim, Soohyon - 2024

Persistent link: https://www.econbiz.de/10014514179

Assessing the performance of the public sector in North African and Middle East countries

Rouag, Abdelwalid; Stejskal, Jan - In: International journal of public sector performance … 3 (2017) 3, pp. 279-296

Persistent link: https://www.econbiz.de/10011991854

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