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

Annals of Applied Statistics

Volumn 3, Issue 1, 2009, Pages 249-271

  Huber, By Philippe ^a   Scaillet, Olivier ^a   Victoria Feser, Maria Pia ^a  

^a UNIVERSITY OF GENEVA   (Switzerland)

Author keywords

Factor analysis; Forecasts; Generalized linear model; LAMLE; Laplace approximation; Latent variable; Multinomial logit

Indexed keywords

EID: 78649422922     PISSN: 19326157     EISSN: 19417330     Source Type: Journal    
DOI: 10.1214/08-AOAS213     Document Type: Article

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