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2008-01-31Buch DOI: 10.18452/4107
Structural Constant Conditional Correlation
dc.contributor.authorWeber, Enzo
dc.date.accessioned2017-06-15T23:38:33Z
dc.date.available2017-06-15T23:38:33Z
dc.date.created2008-02-08
dc.date.issued2008-01-31
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4759
dc.description.abstractA 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectSimultaneityeng
dc.subjectIdentificationeng
dc.subjectEGARCHeng
dc.subjectCCCeng
dc.subject.ddc330 Wirtschaft
dc.titleStructural Constant Conditional Correlation
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10085143
dc.identifier.doihttp://dx.doi.org/10.18452/4107
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages14
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue15
local.edoc.container-year2008
local.edoc.container-erstkatid2195055-6

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