Pegoraro, F.; Siegel, A. F.; Tiozzo Pezzoli, L. - Banque de France - 2014
simultaneous estimation of common factors (shared by all countries) and local factors (specific to one country) requires … development of a normalization procedure beyond that of ordinary factor analysis. By jointly estimating common and local factors … the number of common and of local factors. Using data on international yield curves of U.S., Germany, U.K. and Japan from …