- Tytuł:
- A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach
- Autorzy:
- Bień-Barkowska, Katarzyna
- Powiązania:
- https://bibliotekanauki.pl/articles/483353.pdf
- Data publikacji:
- 2012
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
copula function
mixed binary-continuous distribution
ACD models
market microstructure - Opis:
- In this paper we present a copula-based model for a binary and a continuous variable in a time series setup. Within this modeling framework both marginals can be equipped with their own dynamics whereas the contemporaneous dependence between both processes can be flexibly captured via a copula function. We propose a method for testing the goodness-offit of such a time series model using probability integral transforms (PIT). This verification procedure allows not only a verification of the goodness-offit of the estimated marginal distribution for a continuous variable but also the conditional distribution of a continuous variable given the outcome of its binary counterpart (i.e. the adequacy of the copula choice). We test the model on an empirical example: investigating the relationship between trading volume and the indicators of arbitrarily ’large’ price movements on the interbank EUR/PLN spot market.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2012, 4, 2; 117-142
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł