Investors regularly hear clichéd suggestions to diversify their portfolio by investing in assets with low correlations. However, it is not always clear what exact steps need to be taken to reap the ...

Hierarchical model specifications using latent variables are frequently used to reflect correlation structure in data. Motivated by the structure of a Bayesian multivariate probit model, we ...

This is a preview. Log in through your library . Abstract Correlation matrices play a key role in many multivariate methods (e.g., graphical model estimation and factor analysis). The current state-of ...