A multivariate integer count hurdle model: theory and application to exchange rate dynamics

Katarzyna Bień-Barkowska, Ingmar Nolte and Winfried Pohlmeier
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Winfried Pohlmeier: University of Konstanz CoFE, ZEW

A chapter in High Frequency Financial Econometrics, 2008, pp 31-48 from Springer

Abstract: In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set 蒄 n . 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)
Date: 2008
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Working Paper: A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics (2006)
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DOI: 10.1007/978-3-7908-1992-2_3

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