Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2006
In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contempo- raneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the...