Bayesian Dynamic Factor Models - Department of Statistical Science ...
Bayesian Dynamic Factor Models - Department of Statistical Science ...
Bayesian Dynamic Factor Models - Department of Statistical Science ...
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1.0 GBP−<strong>Factor</strong>1<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 EUR−<strong>Factor</strong>1<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0<br />
JPY−<strong>Factor</strong>1<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 CAD−<strong>Factor</strong>1<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 AUD−<strong>Factor</strong>1<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 CHF−<strong>Factor</strong>1<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 EUR−<strong>Factor</strong>2<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 JPY−<strong>Factor</strong>2<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 CAD−<strong>Factor</strong>2<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 AUD−<strong>Factor</strong>2<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 CHF−<strong>Factor</strong>2<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 JPY−<strong>Factor</strong>3<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 CAD−<strong>Factor</strong>3<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 AUD−<strong>Factor</strong>3<br />
0.5<br />
0.0<br />
2006 2008<br />
1.0 CHF−<strong>Factor</strong>3<br />
0.5<br />
0.0<br />
2006 2008<br />
Figure 4: Time-series trajectories <strong>of</strong> proportion <strong>of</strong> variances explained by factors.<br />
12
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