X hits on this document

PDF document

Maximizing Equity Market Sector Predictability in a Bayesian Time Varying Parameter Model* - page 43 / 46

316 views

0 shares

0 downloads

0 comments

43 / 46

Exposure

Figure 2 continued

Factor Loadings for Selected Economic Sectors The graphs below present the time varying sensitivities for some of the factors in some of the sectors discussed in the paper. The complete set of these graphs, is available upon request from the authors.

2c

Utilities Sector: Time-Varying Exposure to the Default Spread Factor

6

4

2

0

    • -

      2

    • -

      4

    • -

      6

    • -

      8

  • -

    10

  • -

    12

  • -

    14

28/10/94

28/02/95

28/06/95

28/10/95

28/02/96

28/06/96

28/10/96

28/02/97

28/06/97

28/10/97

28/02/98

28/06/98

28/10/98

28/02/99

28/06/99

28/10/99

28/02/00

28/06/00

28/10/00

28/02/01

28/06/01

28/10/01

28/02/02

28/06/02

28/10/02

Date

2d

Helth-Care Sector: Time-Varying Exposure to the Yield Curve Factor

3

2

1

Exposure

0

  • -

    1

  • -

    2

  • -

    3

  • -

    4

28/10/94

28/02/95

28/06/95

28/10/95

28/02/96

28/06/96

28/10/96

28/02/97

28/06/97

28/10/97

28/02/98

28/06/98

28/10/98

28/02/99

28/06/99

28/10/99

28/02/00

28/06/00

28/10/00

28/02/01

28/06/01

28/10/01

28/02/02

28/06/02

28/10/02

Date

42

Document info
Document views316
Page views316
Page last viewedMon Jan 16 09:28:25 UTC 2017
Pages46
Paragraphs1927
Words14448

Comments