Template-type: ReDIF-Paper 1.0
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Title: Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay 
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 time-varying conditional covariance and correlation models.
Keywords: Principal Component Analysis; Principal Volatility Component Analysis: Vector time-varying conditional 
	eteroskedasticity; BEKK, DCC, Asymptotic properties.
Classification-JEL: C32, C55, C58, F37.
Length: 8 pages
Creation-Date: 2014-06 
Number: 2014-18 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1418.txt
File-URL: https://eprints.ucm.es/id/eprint/26207/1/1418.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1418