IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb649/sfb649dp2008-069.html
   My bibliography  Save this paper

Structural dynamic conditional correlation

Author

Listed:
  • Weber, Enzo

Abstract

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.

Suggested Citation

  • Weber, Enzo, 2008. "Structural dynamic conditional correlation," SFB 649 Discussion Papers 2008-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2008-069
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/25312/1/590225804.PDF
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Rigobon, Roberto, 2002. "The curse of non-investment grade countries," Journal of Development Economics, Elsevier, vol. 69(2), pages 423-449, December.
    2. Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
    3. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta, 2008. "Measuring and modeling risk using high-frequency data," SFB 649 Discussion Papers 2008-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Enzo Weber, 2010. "Volatility and causality in Asia Pacific financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1269-1292.
    5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    6. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    7. Weber, Enzo, 2007. "Volatility and causality in Asia Pacific financial markets," SFB 649 Discussion Papers 2007-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
    9. Weber, Enzo, 2008. "Structural constant conditional correlation," SFB 649 Discussion Papers 2008-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Wagner, Marcus, 2008. "Links between sustainability-related innovation and sustainability management," SFB 649 Discussion Papers 2008-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
    12. repec:bla:jfinan:v:44:y:1989:i:1:p:1-17 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:hum:wpaper:sfb649dp2008-072 is not listed on IDEAS
    2. Weber, Enzo & Zhang, Yanqun, 2012. "Common influences, spillover and integration in Chinese stock markets," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 382-394.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:hum:wpaper:sfb649dp2008-069 is not listed on IDEAS
    2. Weber, Enzo & Zhang, Yanqun, 2012. "Common influences, spillover and integration in Chinese stock markets," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 382-394.
    3. repec:hum:wpaper:sfb649dp2008-072 is not listed on IDEAS
    4. repec:hum:wpaper:sfb649dp2007-064 is not listed on IDEAS
    5. Weber, Enzo, 2007. "Correlation vs. causality in stock market comovement," SFB 649 Discussion Papers 2007-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Weber, Enzo, 2013. "Decomposing U.S. Stock Market Comovement into spillovers and common factors," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 106-118.
    7. Weber, Enzo, 2008. "Structural constant conditional correlation," SFB 649 Discussion Papers 2008-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. repec:hum:wpaper:sfb649dp2008-015 is not listed on IDEAS
    9. González, Mariano, 2016. "Asymmetric causality in-mean and in-variance among equity markets indexes," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 49-68.
    10. Weber, Enzo, 2007. "Volatility and causality in Asia Pacific financial markets," SFB 649 Discussion Papers 2007-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Weber, Enzo, 2007. "Who leads financial markets?," SFB 649 Discussion Papers 2007-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Weber, Enzo, 2013. "Simultaneous stochastic volatility transmission across American equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 53-60.
    13. Enzo Weber, 2010. "Volatility and causality in Asia Pacific financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1269-1292.
    14. Weber, Enzo, 2007. "Who leads financial markets?," SFB 649 Discussion Papers 2007-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Weber, Enzo, 2009. "Financial Contagion, Vulnerability and Information Flow: Empirical Identification," University of Regensburg Working Papers in Business, Economics and Management Information Systems 431, University of Regensburg, Department of Economics.
    16. Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," Working Papers 0543, University of Heidelberg, Department of Economics.
    17. Emanuele BACCHIOCCHI, 2011. "Identification through heteroskedasticity: a likelihood-based approach," Departmental Working Papers 2011-19, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    18. Arthur Lewbel, 2012. "Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 67-80.
    19. Prosper Dovonon, 2013. "Conditionally Heteroskedastic Factor Models With Skewness And Leverage Effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1110-1137, November.
    20. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
    21. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures : a structural view," Research Discussion Papers 26/2008, Bank of Finland.
    22. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    23. Rigobon, Roberto & Sack, Brian, 2005. "The effects of war risk on US financial markets," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1769-1789, July.
    24. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, October.

    More about this item

    Keywords

    Simultaneity; identifcation; EGARCH; DCC;
    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:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb649:sfb649dp2008-069. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sohubde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.