Resource title

Structural dynamic conditional correlation

Resource image

image for OpenScout resource :: Structural dynamic conditional correlation

Resource description

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.

Resource author

Enzo Weber

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25312

Resource license

Adapt according to the presented license agreement and reference the original author.