Structural constant conditional correlation
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References listed on IDEAS
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- repec:hum:wpaper:sfb649dp2008-069 is not listed on IDEAS
- Weber, Enzo, 2008. "Structural dynamic conditional correlation," SFB 649 Discussion Papers 2008-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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More about this item
Keywords
Simultaneity; Identification; EGARCH; CCC;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-02-09 (Econometrics)
- NEP-ETS-2008-02-09 (Econometric Time Series)
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