Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data

DOI10.1214/08-AOAS213zbMath1160.62090arXiv0906.1107MaRDI QIDQ1018618

Olivier Scaillet, Maria-Pia Victoria-Feser, Philippe Huber

Publication date: 20 May 2009

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.1107

zbMATH Keywords

factor analysisLaplace approximationlatent variablegeneralized linear modelforecastsmultinomial logitLAMLE

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05)

Related Items

Asymptotic properties of adaptive maximum likelihood estimators in latent variable models, A Bayesian modeling approach for generalized semiparametric structural equation models, A mixture of generalized latent variable models for mixed mode and heterogeneous data, Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data

Uses Software

• Stata
• GLLAMM
• bootstrap

Cites Work

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