Dynamic factor models for multivariate count data : an application to stock-market trading activity
Year of publication: |
2011
|
---|---|
Authors: | Jung, Robert ; Liesenfeld, Roman ; Richard, Jean-François |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 29.2011, 1, p. 73-85
|
Subject: | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Faktorenanalyse | Factor analysis |
-
High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
Chang, Jinyuan, (2015)
-
Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Dai, Runyu, (2023)
-
Mahalanobis distances on factor model based estimation
Dai, Deliang, (2020)
- More ...
-
Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
Jung, Robert, (2008)
-
Dynamic factor models for multivariate count data : an application to stock-market trading activity
Jung, Robert, (2008)
-
Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
Jung, Robert, (2008)
- More ...