Before revision:  Applying the estimator to U.S. Treasury security data, we find that the  systematic factor structure  differs in times of booms and recessions as well as in periods of high market volatility  .
After revision:  Applying the estimator to U.S. Treasury security data, we find that the systematic factor structure differs in times of booms and recessions as well as in periods of high market volatility . State-varying factors based on the VIX capture significantly more variation and pricing information in individual stocks than constant factor models .