Bien, Katarzyna
[Verfasser:in]
;
Nolte, Ingmar
[Sonstige Person, Familie und Körperschaft];
Pohlmeier, Winfried
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 24, 2007 erstellt
Beschreibung:
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