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Title

A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

Authors
Year 2005
Collection Cahiers de recherche; 2005.12
Abstract In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a Laplace approximation, and show its consistency and asymptotic normality. Monte Carlo experiments reveal that both the estimation method and the testing procedure perform well in small samples. An empirical illustration is given for mid-term forcasts simultaneously made by two broker-dealers for several countries.
Keywords Structural equation modelLatent variableGeneralised linear modelFactor analysisMultinomial logitForecastsLAMLECanonical correlation
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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 https://archive-ouverte.unige.ch/unige:5752

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Deposited on : 2010-04-15

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