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Title:A Multivariate Integer Count Hurdle model: theory and application to exchange rate dynamics PDF Logo
Authors:Bien, Katarzyna
Nolte, Ingmar
Pohlmeier, Winfried
Issue Date:2006
Series/Report no.:Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2006,06
Abstract: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.
Subjects:Integer Count Hurdle
Copula Functions
Discrete Multivariate Distributions
Foreign Exchange Market
JEL:G10
F30
C30
Persistent Identifier of the first edition:urn:nbn:de:bsz:352-opus-32361
Document Type:Working Paper
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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