A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements
Contributeurs/tricesHuber, Philippe; Scaillet, Olivier ; Victoria-Feser, Maria-Pia
Collection
- Cahiers de recherche; 2005.12
Date de publication2005
Résumé
Mots-clés
- Structural equation model
- Latent variable
- Generalised linear model
- Factor analysis
- Multinomial logit
- Forecasts
- LAMLE
- Canonical correlation
Structure d'affiliation
Citation (format ISO)
HUBER, Philippe, SCAILLET, Olivier, VICTORIA-FESER, Maria-Pia. A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements. 2005
Fichiers principaux (1)
Report
Identifiants
- PID : unige:5752