no code implementations • 19 Sep 2021 • Antoine Djogbenou, Razvan Sufana
Standard high-dimensional factor models assume that the comovements in a large set of variables could be modeled using a small number of latent factors that affect all variables.
no code implementations • 19 Sep 2021 • Antoine Djogbenou, Christian Gouriéroux, Joann Jasiak, Maygol Bandehali
We introduce the conditional Maximum Composite Likelihood (MCL) estimation method for the stochastic factor ordered Probit model of credit rating transitions of firms.