This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-filtering method to the indicator to...

In this paper we present two new composite leading indicators of economicactivity in Germany estimated using a dynamic factor model with and withoutregime switching. The obtained optimal inferences of business cycle turningpoints indicate that the two-state regime switching procedure leads to...