Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
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Publication:5392687
DOI10.1198/jbes.2009.08212zbMath1214.62092OpenAlexW3121232888MaRDI QIDQ5392687
Roman Liesenfeld, Robert C. Jung, Jean-Francois Richard
Publication date: 13 April 2011
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2009.08212
importance samplingPoisson distributionsimulated maximum likelihooddynamic latent variablesmixture of distribution models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Economic time series analysis (91B84)
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