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Structural Conditional Correlation

Weber, Enzo (2009) Structural Conditional Correlation. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 434, Working Paper.

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Date of publication of this fulltext: 28 Sep 2009 11:13

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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 ...

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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:2 January 2009
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
RePEc:bay:rdwiwi:9560RePEc Handle
Classification:
NotationType
C32Journal of Economics Literature Classification
G10Journal of Economics Literature Classification
Keywords:Simultaneity, Identification, EGARCH, Conditional Correlation
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:9560
Owner only: item control page

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