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

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Author Info
Katarzyna Bien () (University of Konstanz)
Ingmar Nolte () (University of Konstanz)
Winfried Pohlmeier () (University of Konstanz)

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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.

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Publisher Info
Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 06-06.

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Length: 26 pages
Date of creation: 14 Nov 2006
Date of revision:
Handle: RePEc:knz:cofedp:0606

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Postal: Fach D 147, D-78457 Konstanz
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Fax: +49-7531-88-4450
Web page: http://cofe.uni-konstanz.de
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Related research
Keywords: Integer Count Hurdle Copula Functions Discrete Multivariate Distributions Foreign Exchange Market

Find related papers by 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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