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

26 Pages Posted: 24 Jan 2007

See all articles by Katarzyna Bien

Katarzyna Bien

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

Ingmar Nolte

Lancaster University - Department of Accounting and Finance

Winfried Pohlmeier

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

Date Written: January 24, 2007

Abstract

In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Z^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

JEL Classification: G10, F30, C30

Suggested Citation

Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried, A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics (January 24, 2007). Available at SSRN: https://ssrn.com/abstract=959238 or http://dx.doi.org/10.2139/ssrn.959238

Katarzyna Bien

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

Universitätsstr. 10
Box: D 124
78457 Konstanz
Germany

Ingmar Nolte (Contact Author)

Lancaster University - Department of Accounting and Finance ( email )

Lancaster, Lancashire LA1 4YX
United Kingdom

Winfried Pohlmeier

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

Konstanz, D-78457
Germany

HOME PAGE: http://econometrics.wiwi.uni-konstanz.de

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