Publikation: A Multivariate Integer Count Hurdle Model : theory and Application to Exchange Rate Dynamics
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2006
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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.
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Fachgebiet (DDC)
330 Wirtschaft
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Integer Count Hurdle, Copula Functions, Discrete Multivariate Distributions, Foreign Exchange Market
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BIEN, Katarzyna, Ingmar NOLTE, Winfried POHLMEIER, 2006. A Multivariate Integer Count Hurdle Model : theory and Application to Exchange Rate DynamicsBibTex
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year={2006},
series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
title={A Multivariate Integer Count Hurdle Model : theory and Application to Exchange Rate Dynamics},
number={2006/06},
author={Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried}
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