On Time-Varying Factor Models: Estimation and Testing
Conventional factor models assume that factor loadings are fixed over a long horizon of time, which appears overly restrictive and unrealistic in applications. In this paper, we introduce a time-varying factor model where factor loadings are allowed to change smoothly over time. We propose a local v...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2017
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1779 https://ink.library.smu.edu.sg/context/soe_research/article/2778/viewcontent/Time_VaryingFactorModels_JoE2017_Su_Wang.pdf https://ink.library.smu.edu.sg/context/soe_research/article/2778/filename/0/type/additional/viewcontent/Time_Varying_Factor_suppl_data.pdf |
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| Institution: | Singapore Management University |
| Language: | English |