Title of article
Shift, slope and curvature for a class of yields correlation matrices Original Research Article
Author/Authors
Ernesto Salinelli، نويسنده , , Carlo Sgarra and Maurizio Vianello، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
17
From page
650
To page
666
Abstract
In this paper we study the ordering properties of the first two eigenvectors entries of the correlation matrices for forward rates in a relevant class of models. A conjecture for the third eigenvector entries behavior is given.
Keywords
Correlation matrices , Forward rates , Principal component analysis , Exponential model
Journal title
Linear Algebra and its Applications
Serial Year
2007
Journal title
Linear Algebra and its Applications
Record number
825727
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