EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/25312
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorWeber, Enzoen_US
dc.date.accessioned2009-01-20en_US
dc.date.accessioned2009-07-23T15:15:09Z-
dc.date.available2009-07-23T15:15:09Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/25312-
dc.description.abstractIn the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several variables, this model considers interaction in the structural innovations. Even though this allows for common fundamental driving forces, these cannot explain time variation in correlations of observed variables, which still have to rely on causal transmission e ects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC). The additional fexibility is shown to make an important contribution in the estimation of empirical real-data examples.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2008,069en_US
dc.subject.jelC32en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordSimultaneityen_US
dc.subject.keywordidentifcationen_US
dc.subject.keywordEGARCHen_US
dc.subject.keywordDCCen_US
dc.subject.stwSimultanes Gleichungssystemen_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwKorrelationen_US
dc.subject.stwVarianzanalyseen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwAktienindexen_US
dc.subject.stwUSAen_US
dc.titleStructural dynamic conditional correlationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn590225804en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
590225804.PDF529.44 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.