Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/32153
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dc.contributor.authorBien, Katarzynaen_US
dc.contributor.authorNolte, Ingmaren_US
dc.contributor.authorPohlmeier, Winfrieden_US
dc.date.accessioned2007-04-26en_US
dc.date.accessioned2010-05-14T12:00:30Z-
dc.date.available2010-05-14T12:00:30Z-
dc.date.issued2006en_US
dc.identifier.piurn:nbn:de:bsz:352-opus-32361-
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_US
dc.language.isoengen_US
dc.publisher|aCoFE |cKonstanzen_US
dc.relation.ispartofseries|aDiscussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz |x2006,06en_US
dc.subject.jelG10en_US
dc.subject.jelF30en_US
dc.subject.jelC30en_US
dc.subject.ddc330en_US
dc.subject.keywordInteger Count Hurdleen_US
dc.subject.keywordCopula Functionsen_US
dc.subject.keywordDiscrete Multivariate Distributionsen_US
dc.subject.keywordForeign Exchange Marketen_US
dc.subject.stwMultivariate Analyseen_US
dc.subject.stwÖkonometrisches Modellen_US
dc.subject.stwWechselkursen_US
dc.subject.stwSchätzungen_US
dc.subject.stwTheorieen_US
dc.subject.stwEU-Staatenen_US
dc.subject.stwGroßbritannienen_US
dc.subject.stwUSAen_US
dc.titleA Multivariate Integer Count Hurdle model: theory and application to exchange rate dynamicsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn527906573en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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