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14-025/III - Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay


  • Author
    Michael McAleer, College of Technology Management, National Tsing Hua University, Taiwan; Econometric Institute, Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain
  • Publication date
    February 25, 2014
  • Keywords
    Principal Component Analysis, Principal Volatility Component Analysis, Vector time-varying conditional heteroskedasticity, BEKK, DCC, asymptotic properties
  • JEL
    C32, C55, C58, F37