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 P500 stock returns. The systematic factor structure differs in times of booms and recessions as well as in periods of high market volatility .