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...

In the paper we seek to investigate different liquidity or information-oriented factors that exert an impact on the submission of iceberg (i.e., partially hidden) orders in the Reuters Dealing Spot 3000 Matching System, the major interbank order-driven market for EUR/PLN spot trading. With this...