A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics

Katarzyna Bień-Barkowska, Ingmar Nolte and Winfried Pohlmeier ()

No 06/06, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

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.

Keywords: Integer Count Hurdle; Copula Functions; Discrete Multivariate Distributions; Foreign Exchange Market (search for similar items in EconPapers)
JEL-codes: C30 F30 G10 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/32153/1/527906573.pdf (application/pdf)

Related works:
Chapter: A multivariate integer count hurdle model: theory and application to exchange rate dynamics (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0606

Access Statistics for this paper

More papers in CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().