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