Structural dynamic conditional correlation

Abstract

"In the literature of identification through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences 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 flexibility is shown to make an important contribution in the estimation of empirical real-data examples." (Author's abstract, IAB-Doku) ((en))

Cite article

Weber, E. (2008): Structural dynamic conditional correlation. (Sonderforschungsbereich Ökonomisches Risiko. Discussion paper 2008-069), Berlin, 14 p.