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

Kurzanzeige
dc.contributor.authorBien, Katarzynadeu
dc.contributor.authorNolte, Ingmardeu
dc.contributor.authorPohlmeier, Winfried
dc.date.accessioned2011-03-25T09:43:05Zdeu
dc.date.available2011-03-25T09:43:05Zdeu
dc.date.issued2006deu
dc.description.abstractIn 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.eng
dc.description.versionpublished
dc.format.mimetypeapplication/pdfdeu
dc.identifier.ppn266715958deu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/12155
dc.language.isoengdeu
dc.legacy.dateIssued2007deu
dc.relation.ispartofseriesCoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie
dc.rightsAttribution-NonCommercial-NoDerivs 2.0 Generic
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.0/
dc.subjectInteger Count Hurdledeu
dc.subjectCopula Functionsdeu
dc.subjectDiscrete Multivariate Distributionsdeu
dc.subjectForeign Exchange Marketdeu
dc.subject.ddc330deu
dc.subject.jelF30deu
dc.subject.jelG10deu
dc.subject.jelC30deu
dc.titleA Multivariate Integer Count Hurdle Model : theory and Application to Exchange Rate Dynamicseng
dc.typeWORKINGPAPERdeu
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kops.bibliographicInfo.seriesNumber2006/06deu
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  title={A Multivariate Integer Count Hurdle Model : theory and Application to Exchange Rate Dynamics},
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  author={Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried}
}
kops.citation.iso690BIEN, Katarzyna, Ingmar NOLTE, Winfried POHLMEIER, 2006. A Multivariate Integer Count Hurdle Model : theory and Application to Exchange Rate Dynamicsdeu
kops.citation.iso690BIEN, Katarzyna, Ingmar NOLTE, Winfried POHLMEIER, 2006. A Multivariate Integer Count Hurdle Model : theory and Application to Exchange Rate Dynamicseng
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