Regime-switching factor models in which the number of factors defines the regime
We develop regime-switching factor models in which the number of factors determines the operative economic regime. To illustrate the proposed methodology, we analyze the covariance structure of a widely studied set of 25 equity portfolios.
Year of publication: |
2011
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Authors: | Cordis, Adriana S. ; Kirby, Chris |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 112.2011, 2, p. 198-201
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Publisher: |
Elsevier |
Keywords: | Dynamic factor analysis Covariance matrix estimation Correlation matrix estimation |
Saved in:
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