Regime-switching factor models in which the number of factors defines the regime
Adriana S. Cordis and
Economics Letters, 2011, vol. 112, issue 2, 198-201
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:112:y:2011:i:2:p:198-201
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