Yu-Pin Hu
Biographic Data
| ID | 8920386 |
|---|---|
| NAME | Yu-Pin Hu |
| GIVEN NAMES | Yu-Pin |
| FAMILY NAME | Hu |
| SIGNATURE | HU Y |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2014 |
| LATEST PUBLICATION YEAR | 2014 |
| H-INDEX | 0 |
Principal Volatility Component Analysis
Many empirical time series such as asset returns and traffic data exhibit the characteristic of time-varying conditional covariances, known as volatility or conditional heteroscedasticity. Modeling multivariate volatility, however, encounters several difficulties, including the curse of dimensionality. Dimension reduction can be useful and is often necessary. The goal of this article is to extend the idea of principal component analysis to princi…
No prominent works on this page.
Principal Volatility Component Analysis
Many empirical time series such as asset returns and traffic data exhibit the characteristic of time-varying conditional covariances, known as volatility or conditional heteroscedasticity. Modeling multivariate volatility, however, encounters several difficulties, including the curse of dimensionality. Dimension reduction can be useful and is often necessary. The goal of this article is to extend the idea of principal component analysis to princi…
Complex Systems and Time Series Analysis (1 works) · Curse of dimensionality (1 works) · Econometrics (1 works) · Financial Risk and Volatility Modeling (1 works) · Heteroscedasticity (1 works) · Kurtosis (1 works) · Market Dynamics and Volatility (1 works) · Mathematics (1 works) · Principal component analysis (1 works) · Statistics (1 works)