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

  • Katarzyna Bien


    (University of Konstanz)

  • Ingmar Nolte


    (University of Konstanz)

  • Winfried Pohlmeier


    (University of Konstanz)

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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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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