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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
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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/10010377227
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Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - Department of Economics and Finance, College of … - 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/10010907420
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Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 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...
Persistent link: https://www.econbiz.de/10011149300
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Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 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/10010795051
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Discussion of "principal volatility component analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010359780
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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010348324
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Ten Things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - Tinbergen Instituut - 2013
from diagonal BEKK in small systems; and DCC may be a useful filter or a diagnostic check, but it is not a model. … Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the …
Persistent link: https://www.econbiz.de/10011256093
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Ten Things You Should Know About DCC
Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2013
from diagonal BEKK in small systems; and DCC may be a useful filter or a diagnostic check, but it is not a model. … Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the …
Persistent link: https://www.econbiz.de/10010862577
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Ten Things You Should Know About DCC
Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2013
from diagonal BEKK in small systems; and DCC may be a useful filter or a diagnostic check, but it is not a model. … Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the …
Persistent link: https://www.econbiz.de/10010631766