Add to ORKGOlsen and Olsen Financial Technologies for providing us with the data. 1 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 multi-variate 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
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
This thesis contributes to the econometric literature in two ways. Firstly, it introduces a new mult...
Olsen and Olsen Financial Technologies for providing us with the data. 1 In this paper we propose a ...
In this paper we propose a model for the conditional multivariate density of integer count variables...
In this paper we develop a model for the conditional inflated multivariate density of integer count ...
In this paper we develop a model for the conditional inflated multivariate density of integer count ...
Evidence that the distributions of many common economic variables are non-normal has been widely rep...
This chapter introduces a flexible copula-based multivariate distributional specification that allow...
This chapter introduces a flexible copula-based multivariate distributional specification that allow...
We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequenc...
In order to investigate the dependence among assets, markets and sectors, in a flexible way and outg...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
This thesis contributes to the econometric literature in two ways. Firstly, it introduces a new mult...
Olsen and Olsen Financial Technologies for providing us with the data. 1 In this paper we propose a ...
In this paper we propose a model for the conditional multivariate density of integer count variables...
In this paper we develop a model for the conditional inflated multivariate density of integer count ...
In this paper we develop a model for the conditional inflated multivariate density of integer count ...
Evidence that the distributions of many common economic variables are non-normal has been widely rep...
This chapter introduces a flexible copula-based multivariate distributional specification that allow...
This chapter introduces a flexible copula-based multivariate distributional specification that allow...
We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequenc...
In order to investigate the dependence among assets, markets and sectors, in a flexible way and outg...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
This thesis contributes to the econometric literature in two ways. Firstly, it introduces a new mult...