{"id":"https://openalex.org/W2096239281","doi":"https://doi.org/10.1093/jjfinec/nbp025","title":"Structural Conditional Correlation","display_name":"Structural Conditional Correlation","publication_year":2009,"publication_date":"2009-11-14","ids":{"openalex":"https://openalex.org/W2096239281","doi":"https://doi.org/10.1093/jjfinec/nbp025","mag":"2096239281"},"language":"en","primary_location":{"id":"doi:10.1093/jjfinec/nbp025","doi":"https://doi.org/10.1093/jjfinec/nbp025","is_oa":false,"landing_page_url":"https://doi.org/10.1093/jjfinec/nbp025","pdf_url":null,"source":{"id":"https://openalex.org/S207154782","display_name":"Journal of Financial Econometrics","issn_l":"1479-8409","issn":["1479-8409","1479-8417"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-1","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Econometrics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5110209269","display_name":"E. Anna Weber","orcid":"https://orcid.org/0000-0002-9869-3524","observed_orcids":["https://orcid.org/0000-0002-9869-3524"]},"institutions":[{"id":"https://openalex.org/I60668342","display_name":"University of Regensburg","ror":"https://ror.org/01eezs655","country_code":"DE","type":"education","lineage":["https://openalex.org/I60668342"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"E. Weber","raw_affiliation_strings":["Universit\u00e4t Regensburg"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universit\u00e4t Regensburg","institution_ids":["https://openalex.org/I60668342"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5110209269"],"corresponding_institution_ids":["https://openalex.org/I60668342"],"apc_list":{"value":4851,"currency":"USD","value_usd":4851},"apc_paid":null,"fwci":5.0727,"has_fulltext":false,"cited_by_count":34,"citation_normalized_percentile":{"value":0.95429119,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"8","issue":"3","first_page":"392","last_page":"407"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/systems-of-equations","display_name":"systems of equations","score":0.35499998927116394},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"autoregressive conditional heteroskedasticity","score":0.8299999833106995},{"id":"https://openalex.org/keywords/spillover-effects","display_name":"spillover effects","score":0.8140000104904175},{"id":"https://openalex.org/keywords/stock-market-indices","display_name":"stock market indices","score":0.4729999899864197},{"id":"https://openalex.org/keywords/nasdaq-composite","display_name":"Nasdaq Composite","score":0.8569999933242798},{"id":"https://openalex.org/keywords/financial-contagion","display_name":"financial contagion","score":0.4749999940395355}],"concepts":[{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.8198685646057129},{"id":"https://openalex.org/C91317487","wikidata":"https://www.wikidata.org/wiki/Q1530412","display_name":"Simultaneity","level":2,"score":0.8073976039886475},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7395498752593994},{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.6652088165283203},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.6349512338638306},{"id":"https://openalex.org/C5297727","wikidata":"https://www.wikidata.org/wiki/Q786970","display_name":"Autocorrelation","level":2,"score":0.5064250230789185},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.5024666786193848},{"id":"https://openalex.org/C2776502983","wikidata":"https://www.wikidata.org/wiki/Q690182","display_name":"Contrast (vision)","level":2,"score":0.4913443624973297},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.48431888222694397},{"id":"https://openalex.org/C206772910","wikidata":"https://www.wikidata.org/wiki/Q4420961","display_name":"Simultaneous equations model","level":2,"score":0.4192127585411072},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.41770172119140625},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.41136279702186584},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.30267322063446045},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.22491762042045593},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.08397945761680603},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.08129197359085083},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1093/jjfinec/nbp025","doi":"https://doi.org/10.1093/jjfinec/nbp025","is_oa":false,"landing_page_url":"https://doi.org/10.1093/jjfinec/nbp025","pdf_url":null,"source":{"id":"https://openalex.org/S207154782","display_name":"Journal of Financial Econometrics","issn_l":"1479-8409","issn":["1479-8409","1479-8417"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-1","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Econometrics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:oup:jfinec:v:8:y:2010:i:3:p:392-407","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1093/jjfinec/nbp025","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":13,"referenced_works":["https://openalex.org/W1522592437","https://openalex.org/W1727659491","https://openalex.org/W1999814123","https://openalex.org/W2011487064","https://openalex.org/W2020958936","https://openalex.org/W2025210993","https://openalex.org/W2054477007","https://openalex.org/W2063593194","https://openalex.org/W2106988883","https://openalex.org/W2162397513","https://openalex.org/W2171040943","https://openalex.org/W3121542497","https://openalex.org/W4235221393"],"related_works":["https://openalex.org/W2120517034","https://openalex.org/W1534837504","https://openalex.org/W7099240371","https://openalex.org/W2120641249","https://openalex.org/W3207968605","https://openalex.org/W2614977725","https://openalex.org/W7098264158","https://openalex.org/W6960006110","https://openalex.org/W564138463","https://openalex.org/W7100148879"],"abstract_inverted_index":{"A":[0],"small":[1],"strand":[2],"of":[3,32,60,96],"recent":[4],"literature":[5],"is":[6,82],"occupied":[7],"with":[8],"identifying":[9],"simultaneity":[10],"in":[11,74],"multiple":[12],"equation":[13],"systems":[14],"through":[15],"autoregressive":[16],"conditional":[17,63],"heteroscedasticity.":[18],"Since":[19],"this":[20,47],"approach":[21],"assumes":[22],"that":[23],"the":[24,33,58,85,97],"structural":[25,61],"innovations":[26],"are":[27],"uncorrelated,":[28],"any":[29],"contemporaneous":[30],"connection":[31],"endogenous":[34],"variables":[35],"needs":[36],"to":[37,76,84],"be":[38,72],"exclusively":[39],"explained":[40],"by":[41,56],"mutual":[42],"spillover":[43],"effects.":[44,79],"In":[45,66],"contrast,":[46],"paper":[48],"allows":[49],"for":[50],"instantaneous":[51],"covariances,":[52],"which":[53],"become":[54],"identifiable":[55],"imposing":[57],"constraint":[59],"constant/dynamic":[62],"correlation":[64],"(SCCC/SDCC).":[65],"this,":[67],"common":[68],"driving":[69],"forces":[70],"can":[71],"modeled":[73],"addition":[75],"simultaneous":[77],"transmission":[78],"The":[80],"methodology":[81],"applied":[83],"Dow":[86],"Jones":[87],"and":[88,94],"Nasdaq":[89],"Composite":[90],"indexes,":[91],"illuminating":[92],"scope":[93],"functioning":[95],"new":[98],"models.":[99]},"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":6},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}
