Weber, Enzo (2010) Structural Conditional Correlation. JOURNAL OF FINANCIAL ECONOMETRICS, 8 (3). pp. 392-407. ISSN 1479-8409,
Full text not available from this repository. (Request a copy)Abstract
A 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/dynamic conditional correlation (SCCC/SDCC). In this, common driving forces can be modeled in addition to simultaneous transmission effects. The methodology is applied to the Dow Jones and Nasdaq Composite indexes, illuminating scope and functioning of the new models. (JEL: C32, G10)
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | HETEROSKEDASTICITY; MODELS; IDENTIFICATION; simultaneity; identification; EGARCH; conditional correlation |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 29 Jul 2020 08:36 |
| Last Modified: | 29 Jul 2020 08:36 |
| URI: | https://pred.uni-regensburg.de/id/eprint/24633 |
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