Latent level correlation modeling of multivariate discrete-valued financial time series

Nalini Ravishanker, Jian Zou, Yanzhao Wang, Haitao Liu

Publication date: 9 October 2024

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

Bayesian hierarchical model integrated nested Laplace approximation (INLA)correlated temporal effects intraday multivariate financial count data level correlation model (LCM)

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

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