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EconStor
Research . 2008
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Structural dynamic conditional correlation

Authors: Enzo Weber;

Structural dynamic conditional correlation

Abstract

In 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.

Country
Germany
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Keywords

Simultaneity, Identifcation, EGARCH, DCC, ddc:330, 330 Wirtschaft, ARCH-Modell, Identifcation, Börsenkurs, Simultanes Gleichungssystem, identifcation, G10, Varianzanalyse, Simultaneity, Aktienindex, C32, EGARCH, Korrelation, Theorie, USA, DCC, Schätzung, jel: jel:C32, jel: jel:G10

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selected citations
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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
views
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