An inflated multivariate integer count hurdle model : an application to bid and ask quote dynamics
Bien, Katarzyna, Nolte, Ingmar and Pohlmeier, Winfried. (2009) An inflated multivariate integer count hurdle model : an application to bid and ask quote dynamics. Journal of Applied Econometrics, Volume 26 (Number 4). pp. 669-707. ISSN 0883-7252Full text not available from this repository.
Official URL: http://dx.doi.org/10.1002/jae.1122
In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Z(n), n is an element of N. Our modelling framework is based on a copula approach and can be used for a broad set of applications where the primary characteristics of the data are: (i) discrete domain; (ii) the tendency to cluster at certain outcome values; and (iii) contemporaneous dependence. These kinds of properties can be found for high- or ultra-high-frequency data describing the trading process on financial markets. We present a straightforward sampling method for such an inflated multivariate density through the application of an independence Metropolis-Hastings sampling algorithm. We demonstrate the power of our approach by modelling the conditional bivariate density of bid and ask quote changes in a high-frequency setup. We show how to derive the implied conditional discrete density of the bid-ask spread, taking quote clusterings (at multiples of 5 ticks) into account. Copyright (C) 2009 John Wiley & Sons, Ltd.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HG Finance
Q Science > QA Mathematics
|Divisions:||Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
|Library of Congress Subject Headings (LCSH):||Multivariate analysis, Copulas (Mathematical statistics), Finance -- Mathematical models|
|Journal or Publication Title:||Journal of Applied Econometrics|
|Publisher:||Wiley-Blackwell Publishing, Inc|
|Number of Pages:||39|
|Page Range:||pp. 669-707|
|Access rights to Published version:||Restricted or Subscription Access|
|Funder:||European Commission (EC)|
|Grant number:||HPRN-CT-2002-00232 (EC)|
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