Exploring the total positivity of yields correlations

DOI10.1080/14697688.2015.1051097zbMath1468.91181OpenAlexW1574005543MaRDI QIDQ5001156

Aldo Goia, Ernesto Salinelli

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1051097

zbMATH Keywords

bootstraptotal positivityyield curvemultiple testspartial correlationsSchoenmakers \& Coffey matrices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Uses Software

• bootstrap

Cites Work

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• Correction on `Moments of minors of Wishart matrices'
• Some results on correlation matrices for interest rates
• Correlation matrices of yields and total positivity
• Algebraic factor analysis: tetrads, pentads and beyond
• Moments of minors of Wishart matrices
• Shift, slope and curvature for a class of yields correlation matrices
• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy. With a comment by J. A. Hartigan and a rejoinder by the authors
• An improved Bonferroni procedure for multiple tests of significance
• Level–Slope–Curvature – Fact or Artefact?
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Measures of multivariate skewness and kurtosis with applications
• A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT
• Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model

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