Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/87288 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 13-097/IV/DSF59
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
We describe stationarity and ergodicity (SE) regions for a recently proposed class of score driven dynamic correlation models. These models have important applications in empirical work. The regions are derived from sufficiency conditions in Bougerol (1993) and take a non-standard form. We show that the non-standard shape of the sufficiency regions cannot be avoided by reparameterizing the model or by rescaling the score steps in the transition equation for the correlation parameter. This makes the result markedly different from the volatility case. Observationally equivalent decompositions of the stochastic recurrence equation yield regions with different sizes and shapes. We illustrate our results with an analysis of time-varying correlations between UK and Greek equity indices. We find that also in empirical applications different decompositions can give rise to different conclusions regarding the stability of the estimated model.
Schlagwörter: 
dynamic copulas
generalized autoregressive score (GAS) models
stochastic recurrence equations
observation driven models
contraction properties
JEL: 
C22
C32
C58
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
488.91 kB





Publikationen in EconStor sind urheberrechtlich geschützt.