@ARTICLE{Bień-Barkowska_Katarzyna_A_2012,
 author={Bień-Barkowska, Katarzyna},
 number={No 2},
 journal={Central European Journal of Economic Modelling and Econometrics},
 pages={117-142},
 howpublished={online},
 year={2012},
 publisher={Oddział PAN w Łodzi},
 abstract={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 function. We propose a method for testing the goodness-of-fit of such a time series model using probability integral transforms (PIT). This verification procedure allows not only a verification of the goodness-of-fit of the estimated marginal distribution for a continuous variable but also the conditional distribution of a continuous variable given the outcome of its binary counterpart (i.e. the adequacy of the copula choice). We test the model on an empirical example: investigating the relationship between trading volume and the indicators of arbitrarily ’large’ price movements on the interbank EUR/PLN spot market.},
 type={Artykuły / Articles},
 title={A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach},
 URL={http://ochroma.man.poznan.pl/Content/103773/PDF-MASTER/mainFile.pdf},
 doi={10.24425/cejeme.2012.119279},
 keywords={copula function, mixed binary-continuous distribution, ACD models, market microstructure},
}