Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25257
Authors: 
Weber, Enzo
Year of Publication: 
2008
Series/Report no.: 
SFB 649 discussion paper 2008,015
Abstract: 
A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous variables needs to be exclusively explained by mutual spillover effects. In contrast, this paper allows for instantaneous covariances, which become identifiable by imposing the constraint of structural constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous transmission effects. The new methodology is applied to the Dow Jones and Nasdaq Composite indexes in a small empirical example, illuminating scope and functioning of the SCCC model.
Subjects: 
Simultaneity
Identification
EGARCH
CCC
JEL: 
C32
G10
Document Type: 
Working Paper

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