An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics
膨胀型多元整数计数跨栏模型:买卖报价动态应用
Abstract In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain ℤ n , n ∈ ℕ . 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 kinds of properties can be found for high‐ or…