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

dp06_06.pdfGröße: 1.9 MBDownloads: 335

Datum

2006

Autor:innen

Bien, Katarzyna

Nolte, Ingmar

Pohlmeier, Winfried

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

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, 2006. A Multivariate Integer Count Hurdle Model : theory and Application to Exchange Rate Dynamics

BibTex

@techreport{Bien2006Multi-12155,
  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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Universitätsbibliographie

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