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

Katarzyna BieńBarkowska | Zendy; Ingmar Nolte | Zendy; Winfried Pohlmeier | Zendy

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

Author(s) -

Katarzyna BieńBarkowska,

Ingmar Nolte,

Winfried Pohlmeier

Publication year - 2007

Publication title -

ssrn electronic journal

Language(s) - English

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.959238

Subject(s) - multivariate statistics , count data , exchange rate , econometrics , integer (computer science) , statistics , dynamics (music) , integer programming , mathematics , economics , computer science , mathematical optimization , physics , poisson distribution , monetary economics , acoustics , programming language

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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