A Multivariate Integer Count Hurdle Model : Theory and Application to Exchange Rate Dynamics

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried

A Multivariate Integer Count Hurdle Model : Theory and Application to Exchange Rate Dynamics

Dateien

Pohlmeier.pdfGröße: 1.22 MBDownloads: 358

Datum

2008

Autor:innen

Bien, Katarzyna

Nolte, Ingmar

Pohlmeier, Winfried

Publikationstyp

Beitrag zu einem Sammelband

Publikationsstatus

Published

Erschienen in

BAUWENS, Luc, ed. and others. Recent Developments in High Frequency Financial Econometrics. Heidelberg: Physica-Verl., 2008, pp. 31-48. ISBN 978-3-7908-1991-5

Zusammenfassung

In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes, which is able to pick up the complex nonlinear dynamics of multivariate financial time series at high frequencies. We use the model to estimate the conditional bivariate density of the high frequency changes of the EUR/GBP and the EUR/USD exchange rates.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Integer count hurdle, Copula functions, Discrete multivariate distributions, Foreign exchange market

Zitieren

ISO 690

BIEN, Katarzyna, Ingmar NOLTE, Winfried POHLMEIER, 2008. A Multivariate Integer Count Hurdle Model : Theory and Application to Exchange Rate Dynamics. In: BAUWENS, Luc, ed. and others. Recent Developments in High Frequency Financial Econometrics. Heidelberg: Physica-Verl., 2008, pp. 31-48. ISBN 978-3-7908-1991-5

BibTex

@incollection{Bien2008Multi-11870,
  year={2008},
  title={A Multivariate Integer Count Hurdle Model : Theory and Application to Exchange Rate Dynamics},
  isbn={978-3-7908-1991-5},
  publisher={Physica-Verl.},
  address={Heidelberg},
  booktitle={Recent Developments in High Frequency Financial Econometrics},
  pages={31--48},
  editor={Bauwens, Luc},
  author={Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried}
}

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