Article ID Journal Published Year Pages File Type
5060908 Economics Letters 2011 4 Pages PDF
Abstract
► We develop a parsimonious regime-switching factor model. ► It generates time-varying factor loadings in a straightforward fashion. ► It provides a simple, tractable parameterization of regime-switching correlations.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Regime-switching factor models in which the number of factors defines the regime
Authors
, ,