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...

This paper examines a process of order submissions and cancellations in the interbank order driven market of the EUR/PLN currency pair. Our contribution to the existing literature is twofold. We generalize the Asymmetric ACD model (AACD) of Bauwens & Giot (2003) with respect to more than two...