A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics
26 Pages Posted: 24 Jan 2007
Date Written: January 24, 2007
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: Suggested Citation