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2008-12-18Buch DOI: 10.18452/4161
Structural Dynamic Conditional Correlation
dc.contributor.authorWeber, Enzo
dc.date.accessioned2017-06-15T23:49:30Z
dc.date.available2017-06-15T23:49:30Z
dc.date.created2009-01-09
dc.date.issued2008-12-18
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4813
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 effects. 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectSimultaneityeng
dc.subjectEGARCHeng
dc.subjectIdentifcationeng
dc.subjectDCCeng
dc.subject.ddc330 Wirtschaft
dc.titleStructural Dynamic Conditional Correlation
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10095137
dc.identifier.doihttp://dx.doi.org/10.18452/4161
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-issue69
local.edoc.container-year2008
local.edoc.container-erstkatid2195055-6

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