Luca Pezzoli

Banque de France

Paris

France

SCHOLARLY PAPERS

2

DOWNLOADS

167

SSRN CITATIONS
Rank 27,926

SSRN RANKINGS

Top 27,926

in Total Papers Citations

0

CROSSREF CITATIONS

33

Scholarly Papers (2)

1.

International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment

Banque de France Working Paper No. 489
Number of pages: 62 Posted: 17 Jun 2014
Fulvio Pegoraro, Andrew F. Siegel and Luca Pezzoli
Banque de France - Economics and Finance Research Center, University of Washington - Department of Finance and Business Economics and Banque de France
Downloads 89 (351,151)
Citation 13

Abstract:

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international Treasury yield curves database, Nelson-Siegel term structure estimation techniques, principal component selection techniques, common and local factors, explained variance

2.

Specification Analysis of International Treasury Yield Curve Factors

Banque de France Working Paper No. 490
Number of pages: 57 Posted: 20 Jun 2014
Fulvio Pegoraro, Andrew F. Siegel and Luca Pezzoli
Banque de France - Economics and Finance Research Center, University of Washington - Department of Finance and Business Economics and Banque de France
Downloads 78 (382,744)
Citation 20

Abstract:

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international treasury yield curves, common and local factors, state-space models, EM algorithm, Kalman Filter and Kalman Smoother