Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data
Contributeurs/tricesHuber, Philippe; Victoria-Feser, Maria-Pia; Scaillet, Olivier
Publié dansThe annals of applied statistics, vol. 3, no. 1, p. 249-271
Date de publication2009
Résumé
Mots-clés
- Latent variable
- Generalized linear model
- Factor analysis
- Multinomial logit
- Forecasts
- LAMLE
- Laplace approximation
Structure d'affiliation
Citation (format ISO)
HUBER, Philippe, VICTORIA-FESER, Maria-Pia, SCAILLET, Olivier. Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data. In: The annals of applied statistics, 2009, vol. 3, n° 1, p. 249–271. doi: 10.1214/08-AOAS213
Fichiers principaux (1)
Article (Published version)
Identifiants
- PID : unige:6490
- DOI : 10.1214/08-AOAS213
ISSN du journal1932-6157