Regime-switching factor models in which the number of factors defines the regime
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 112 (2011)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/ecolet
Dynamic factor analysis Covariance matrix estimation Correlation matrix estimation;
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