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dc.contributor.authorBien, Katarzynaen
dc.contributor.authorNolte, Ingmaren
dc.contributor.authorPohlmeier, Winfrieden
dc.date.accessioned2007-04-26-
dc.date.accessioned2010-05-14T12:00:30Z-
dc.date.available2010-05-14T12:00:30Z-
dc.date.issued2006-
dc.identifier.piurn:nbn:de:bsz:352-opus-32361en
dc.identifier.urihttp://hdl.handle.net/10419/32153-
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.en
dc.language.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x06/06en
dc.subject.jelG10en
dc.subject.jelF30en
dc.subject.jelC30en
dc.subject.ddc330en
dc.subject.keywordInteger Count Hurdleen
dc.subject.keywordCopula Functionsen
dc.subject.keywordDiscrete Multivariate Distributionsen
dc.subject.keywordForeign Exchange Marketen
dc.subject.stwMultivariate Analyseen
dc.subject.stwÖkonometrisches Modellen
dc.subject.stwWechselkursen
dc.subject.stwSchätzungen
dc.subject.stwTheorieen
dc.subject.stwEU-Staatenen
dc.subject.stwGroßbritannienen
dc.subject.stwUSAen
dc.titleA Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics-
dc.type|aWorking Paperen
dc.identifier.ppn527906573en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0606-

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