Search Results - subject:"Metropolized-Independence Sampler"

An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - 2007

In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Zn. 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...

Persistent link: https://www.econbiz.de/10010266935

Estimating liquidity using information on the multivariate trading process

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - 2006

functions. Thereby we show how to model truncations of the multivariate density in an easy way. A Metropolized-Independence … Sampler is applied to draw from the dynamic multivariate density. The samples drawn serve to construct the dynamic density …

Persistent link: https://www.econbiz.de/10010266928

Estimating liquidity using information on the multivariate trading process

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2006

functions. Thereby we show how to model truncations of the mul- tivariate density in an easy way. A Metropolized-Independence … Sampler is applied to draw from the dynamic multivariate density. The samples drawn serve to construct the dynamic density …

Persistent link: https://www.econbiz.de/10005113476

An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2007

Persistent link: https://www.econbiz.de/10005146735

Estimating Liquidity Using Information on the Multivariate Trading Process

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2006

Persistent link: https://www.econbiz.de/10005357886