Instead, we develop a multivariate model for ordinal ... for the thresholds and regression coefficients simultaneously. As a consequence, the variance–covariance matrix of the parameters can ...

Annals of Economics and Statistics, No. 123/124, SPECIAL ISSUE ON RECENT DEVELOPMENTS IN FINANCIAL ECONOMETRICS (December 2016), pp. 77-101 (25 pages) https://doi.org ...

This paper proposes a multivariate Markov model for simulating the dynamics of correlated credit ratings of multiple firms. Our model is based on the single index model in modern portfolio theory and ...

Investopedia / Eliana Rodgers The multivariate model is a popular statistical tool that uses multiple variables to forecast possible outcomes. Research analysts use multivariate models to forecast ...