Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...