Specification analysis of international treasury yield curve factors
Fulvio Pegoraro, Andrew F. Siegel and Luca Tiozzo 'Pezzoli
| Year of publication: |
2014
|
|---|---|
| Authors: | Pegoraro, Fulvio ; Siegel, Andrew F. ; Tiozzo 'Pezzoli, Luca |
| Publisher: |
Paris : Banque de France |
| Subject: | international treasury yield curves | common and local factors | state-space models | EM algorithm | Kalman Filter and Kalman Smoother | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Staatspapier | Government securities | Öffentliche Anleihe | Public bond | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Extent: | Online-Ressource (50 S.) graph. Darst. |
|---|---|
| Series: | Documents de travail / Banque de France. - Paris, ZDB-ID 2585859-2. - Vol. 490 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Zsfassung in franz. Sprache Systemvoraussetzungen: Acrobat Reader Parallelsacht.: Analyse de spécification des facteurs des courbes de taux internationales |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010438246