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.

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Year of publication:	2011
Authors:	Cordis, Adriana S. ; Kirby, Chris
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 112.2011, 2, p. 198-201
Publisher:	Elsevier
Keywords:	Dynamic factor analysis Covariance matrix estimation Correlation matrix estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009146129