A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics

Katarzyna Bien (), Ingmar Nolte () and Winfried Pohlmeier ()
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Katarzyna Bien: University of Konstanz

No 06-06, CoFE Discussion Paper from Center of Finance and Econometrics, University of Konstanz

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: G10 F30 C30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ifn and nep-mst
Date: 2006-11-14
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