|
EconStor >
Universität Konstanz >
Center of Finance and Econometrics (CoFE), Universität Konstanz >
CoFE-Diskussionspapiere, Universität Konstanz >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/32170
|
| | |
| Title: | | An inflated Multivariate Integer Count Hurdle model: an application to bid and ask quote dynamics  |
| Authors: | | Bien, Katarzyna Nolte, Ingmar Pohlmeier, Winfried |
| Issue Date: | | 2007 |
| Series/Report no.: | | Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2007,04 |
| Abstract: | | In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Zn. Our modelling framework is based on a copula approach and can be used for a broad set of applications where the primary characteristics of the data are: (i) discrete domain, (ii) the tendency to cluster at certain outcome values and (iii) contemporaneous dependence. These kind of properties can be found for high or ultra-high frequent data describing the trading process on financial markets. We present a straightforward method of sampling from such an inflated multivariate density through the application of an Independence Metropolis-Hastings sampling algorithm. We demonstrate the power of our approach by modelling the conditional bivariate density of bid and ask quote changes in a high frequency setup. We show how to derive the implied conditional discrete density of the bid-ask spread, taking quote clusterings (at multiples of 5 ticks) into account. |
| Subjects: | | Multivariate Discrete Distributions Conditional Inflation Copula Functions Truncations Metropolized-Independence Sampler |
| JEL: | | G10 F30 C30 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CoFE-Diskussionspapiere, Universität Konstanz
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/32170
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|