Bayesian Dynamic Factor Models - Department of Statistical Science ...
Bayesian Dynamic Factor Models - Department of Statistical Science ...
Bayesian Dynamic Factor Models - Department of Statistical Science ...
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
0.5<br />
0.0<br />
0.5<br />
0.0<br />
GBP<br />
CAD<br />
0.5 GBP<br />
0.0<br />
0.4 CAD<br />
0.2<br />
0.0<br />
NT<br />
LT<br />
50 100<br />
50 100<br />
NT<br />
LT<br />
(a) Mean-target (m = 0.06%)<br />
2<br />
0<br />
−0.5<br />
50 100<br />
50 100<br />
0.5<br />
0.0<br />
1<br />
0<br />
0.3<br />
0.0<br />
−0.3<br />
EUR<br />
AUD<br />
50 100<br />
50 100<br />
(b) Target-free<br />
EUR<br />
AUD<br />
50 100<br />
50 100<br />
0.5<br />
0.0<br />
0<br />
−1<br />
0.5<br />
0.0<br />
0<br />
−1<br />
JPY<br />
CHF<br />
JPY<br />
CHF<br />
50 100<br />
50 100<br />
50 100<br />
50 100<br />
Figure 11: Trajectories <strong>of</strong> portfolio weights based on one-step-ahead forecasts <strong>of</strong> the LM-AF models<br />
for (a) the portfolio under the target return <strong>of</strong> m = 0.06% (upper), and (b) the target-free<br />
minimum-variance portfolio (lower).<br />
20
Change language