Regime-switching factor models in which the number of factors defines the regime

Adriana S. Cordis and Chris Kirby

Economics Letters, 2011, vol. 112, issue 2, 198-201

Abstract: 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.

Keywords: Dynamic; factor; analysis; Covariance; matrix; estimation; Correlation; matrix; estimation (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176511001716
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:112:y:2011:i:2:p:198-201

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().