@techreport{Bien2007Infla-12020,
  year={2007},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={An Inflated Multivariate Integer Count Hurdle Model : an Application to Bid and Ask Quote Dynamics},
  number={2007/04},
  author={Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried}
}

<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/12020">
    <dc:format>application/pdf</dc:format>
    <dc:contributor>Pohlmeier, Winfried</dc:contributor>
    <dc:contributor>Bien, Katarzyna</dc:contributor>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:11Z</dcterms:available>
    <dc:contributor>Nolte, Ingmar</dc:contributor>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12020"/>
    <dcterms:abstract xml:lang="eng">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 domain, (ii) the tendency to cluster at certain outcome values and (iii) contemporaneous dependence. These kind of properties can be found for high or ultra-high frequent data describing the trading process on financial markets. We present a straightforward method of sampling from such an inflated multivariate density through the application of an Independence Metropolis-Hastings sampling algorithm. We demonstrate the power of our approach by modelling the conditional bivariate density of bid and ask quote changes in a high frequency setup. We show how to derive the implied conditional discrete density of the bid-ask spread, taking quote clusterings (at multiples of 5 ticks) into account.</dcterms:abstract>
    <dc:creator>Bien, Katarzyna</dc:creator>
    <dcterms:issued>2007</dcterms:issued>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12020/1/dp07_04.pdf"/>
    <dcterms:rights rdf:resource="http://creativecommons.org/licenses/by-nc-nd/2.0/"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12020/1/dp07_04.pdf"/>
    <dc:creator>Nolte, Ingmar</dc:creator>
    <dc:creator>Pohlmeier, Winfried</dc:creator>
    <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights>
    <dcterms:title>An Inflated Multivariate Integer Count Hurdle Model : an Application to Bid and Ask Quote Dynamics</dcterms:title>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:11Z</dc:date>
    <dc:language>eng</dc:language>
  </rdf:Description>
</rdf:RDF>