The Fama-French (FF) five-factor model is cast into a dynamic setting to capture the impact of illiquidity over the phases of the business cycle on the returns of the passive FF twelve sector portfolios. We use two dynamic approaches. Kalman filtering and a recursive/rolling robust instrumental variables (IV) algorithm cast into a GMM framework. to determine time-varying alpha and bet... https://miabellesbabyes.shop/product-category/girls-spring-top/