Download This PaperRegime-Switching Factor Models in Which the Number of Factors Defines the Regime
9 Pages Posted: 1 Dec 2010 Last revised: 25 Apr 2011
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Regime-Switching Factor Models in Which the Number of Factors Defines the Regime
Number of pages: 9
Posted: 01 Dec 2010
Last Revised: 25 Apr 2011
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Regime-Switching Factor Models in Which the Number of Factors Defines the Regime
Economics Letters, Forthcoming
Posted: 25 Apr 2011
Date Written: November 25, 2010
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
JEL Classification: C32, C51, C53
Suggested Citation: Suggested Citation
Cordis, Adriana S. and Kirby, Chris, Regime-Switching Factor Models in Which the Number of Factors Defines the Regime (November 25, 2010). Available at SSRN: https://ssrn.com/abstract=1716824 or http://dx.doi.org/10.2139/ssrn.1716824
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