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...

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 this paper, I examine order submissions and cancellations in the Reuters Dealing 3000 Spot Matching System, the main order-driven market for interbank trading of the euro/złoty (EUR/PLN) currency pair. I generalize the asymmetric autoregressive conditional duration (AACD) model of Bauwens...