Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25312 
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dc.contributor.authorWeber, Enzoen
dc.date.accessioned2009-01-20-
dc.date.accessioned2009-07-23T15:15:09Z-
dc.date.available2009-07-23T15:15:09Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2008,069en
dc.subject.jelC32en
dc.subject.jelG10en
dc.subject.ddc330en
dc.subject.keywordSimultaneityen
dc.subject.keywordidentifcationen
dc.subject.keywordEGARCHen
dc.subject.keywordDCCen
dc.subject.stwSimultanes Gleichungssystemen
dc.subject.stwARCH-Modellen
dc.subject.stwKorrelationen
dc.subject.stwVarianzanalyseen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwBörsenkursen
dc.subject.stwAktienindexen
dc.subject.stwUSAen
dc.titleStructural dynamic conditional correlation-
dc.type|aWorking Paperen
dc.identifier.ppn590225804en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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