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回应AI 解读

We express our sincere thanks to all the discussants for their constructive discussions and encouragement. In particular, we appreciate their proposals of alternative approaches to finding common v...

主波动率成分分析AI 解读

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 principal volatility component…