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

In: High Frequency Financial Econometrics

Author

Listed:
  • Katarzyna Bien

    (University of Konstanz)

  • Ingmar Nolte

    (University of Konstanz)

  • Winfried Pohlmeier

    (University of Konstanz CoFE, ZEW)

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.

Suggested Citation

  • Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2008. "A multivariate integer count hurdle model: theory and application to exchange rate dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 31-48, Springer.
    • Handle: RePEc:spr:stecpp:978-3-7908-1992-2_3
    DOI: 10.1007/978-3-7908-1992-2_3
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    References listed on IDEAS

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    Cited by:

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    2. Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016. "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 819-851, December.

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    More about this item

    Keywords

    Integer count hurdle; Copula functions; Discrete multivariate distributions; Foreign exchange market;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • F30 - International Economics - - International Finance - - - General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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