Katarzyna Bien

University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

Universitätsstr. 10

Box: D 124

78457 Konstanz

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

712

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Estimating Liquidity Using Information on the Multivariate Trading Process

Number of pages: 73 Posted: 17 Jul 2006
Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE), Lancaster University - Department of Accounting and Finance and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 261 (117,969)
Citation 1

Abstract:

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Liquidity, Copula Functions, Trading Process, Decimalization, Metropolized-Independence Sampler

2.

An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics

Number of pages: 39 Posted: 01 Mar 2007 Last Revised: 25 Jun 2009
Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE), Lancaster University - Department of Accounting and Finance and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 246 (125,388)

Abstract:

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Multivariate Discrete Distributions, Conditional Inflation, Copula Functions, Truncations, Metropolized-Independence Sampler

3.

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

Number of pages: 26 Posted: 24 Jan 2007
Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE), Lancaster University - Department of Accounting and Finance and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 205 (149,696)

Abstract:

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Integer Count Hurdle, Copula Functions, Discrete Multivariate Distributions, Foreign Exchange Market