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

Lade...
Vorschaubild
Dateien
Pohlmeier.pdf
Pohlmeier.pdfGröße: 1.22 MBDownloads: 366
Datum
2008
Autor:innen
Bien, Katarzyna
Nolte, Ingmar
Herausgeber:innen
Kontakt
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
DOI (zitierfähiger Link)
ArXiv-ID
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Open Access Green
Core Facility der Universität Konstanz
Gesperrt bis
Titel in einer weiteren Sprache
Forschungsvorhaben
Organisationseinheiten
Zeitschriftenheft
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.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
Integer count hurdle, Copula functions, Discrete multivariate distributions, Foreign exchange market
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690BIEN, 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}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/11870">
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/11870/1/Pohlmeier.pdf"/>
    <dcterms:abstract xml:lang="eng">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.</dcterms:abstract>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:40:48Z</dcterms:available>
    <dcterms:rights rdf:resource="http://creativecommons.org/licenses/by-nc-nd/2.0/"/>
    <dc:creator>Pohlmeier, Winfried</dc:creator>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dc:creator>Nolte, Ingmar</dc:creator>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dcterms:title>A Multivariate Integer Count Hurdle Model : Theory and Application to Exchange Rate Dynamics</dcterms:title>
    <dc:contributor>Bien, Katarzyna</dc:contributor>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/11870/1/Pohlmeier.pdf"/>
    <dcterms:bibliographicCitation>First publ. in: Recent Developments in High Frequency Financial Econometrics / Luc Bauwens ... (eds.). Heidelberg: Physica-Verl., 2007, pp. 31-48. - ISBN 	978-3-7908-1991-5</dcterms:bibliographicCitation>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:contributor>Pohlmeier, Winfried</dc:contributor>
    <dc:language>eng</dc:language>
    <dcterms:issued>2008</dcterms:issued>
    <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:40:48Z</dc:date>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/11870"/>
    <dc:creator>Bien, Katarzyna</dc:creator>
    <dc:contributor>Nolte, Ingmar</dc:contributor>
    <dc:format>application/pdf</dc:format>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
  </rdf:Description>
</rdf:RDF>
Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Kontakt
URL der Originalveröffentl.
Prüfdatum der URL
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen