Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity

By Robert C. Jung, Roman Liesenfeld, Jean-François Richard. 2011

53 citations recorded by the source corpus.

Subfields: Condensed Matter Physics, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/79ee0d6022d5185a2f606ce4d2b24f0bdc9f5844

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Konstantinos Fokianos
2. Harry Joe
3. Richard A. Davis
4. Scott H. Holan
5. A. C. Davison
6. Haijun Li
7. Thomas Mikosch
8. Claudia Klüppelberg

In Finance

1. Konstantinos Fokianos
2. Richard A. Davis
3. Harry Joe
4. Vladas Pipiras
5. Robert B. Lund
6. Scott H. Holan
7. Claudia Czado
8. Aristidis K. Nikoloulopoulos

Citations in the corpus

• Count Time Series: A Methodological Review (2021, methodology): “For multivariate counts, state-space models were studied in Jørgensen et al. (1999) and Jung, Liesenfeld, and Richard (2011); see Ravishanker, Serhiyenko, and Willig (2014) and Ravishanker, Venkatesan, and Hu (2016), among others, for more recent contributions.”