Factor modeling is a popular strategy to induce sparsity in multivariate models as they scale to higher dimensions. We develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to couple the variables with the latent factor. We use...

Discovering the preferences and the behaviour of consumers is a key challenge in marketing. Information about such topics can be gathered through surveys in which the respondents must assign a score to a number of items. In this article we suggest a strategy to analyze such data and achieve this...

We apply a functional data approach for mixture model-based multivariate innovation clustering to identify different regional innovation portfolios in Europe. Innovation concentration is considered as pattern of specialization among innovation types. We examine patent registration data and...

We introduce a new dynamic clustering method for multivariate panel data char-acterized by time-variation in cluster locations and shapes, cluster compositions, and, possibly, the number of clusters. To avoid overly frequent cluster switching (flickering), we extend standard cross-sectional...

The goal of this research is to propose a procedure of innovativeness measurement, taking Summary Innovation Index methodology as a starting point. In contemporary world, innovative activity is perceived as a source of competitiveness and economic growth. New products, utility models, trademarks...

Asset prices exhibit characteristics that significantly deviate from log-normality and display time-varying stochastics. There is ample evidence of jumps in one asset price or market leading to jumps in other assets' prices or markets. We propose a multivariate jump diffusion model with...

We introduce a new method for dynamic clustering of panel data with dynamics for cluster location and shape, cluster composition, and for the number of clusters. Whereas current techniques typically result in (economically) too many switches, our method results in economically more meaningful...

Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy. In this paper, we address three sources of error related to the modeling of these complex systems: 1.oversimplifying hypothesis; 2. uncertainties resulting from parameters' sampling error; 3....

The varieties of capitalism approach (VoC) and the related research assume that German firms adopt an internal flexibility profile that corresponds with the national institutional framework. Recent empirical studies, however, have found substantial diversity in realized firm-level strategies....