Level–Slope–Curvature – Fact or Artefact?

DOI10.1080/13504860600661111zbMath1160.91334MaRDI QIDQ5297931

Roger Lord, Antoon Pelsser

Publication date: 16 July 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600661111

zbMATH Keywords

total positivity; term structure; correlation matrix; principal components analysis; oscillation matrix; Schoenmakers-Coffey matrix

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

15A99: Basic linear algebra

Related Items

Exploring the total positivity of yields correlations, THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH, Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications, Accurate and fast computations with Green matrices, A noisy principal component analysis for forward rate curves, Some results on correlation matrices for interest rates, Term structure of interest rates estimation using rational Chebyshev functions, Shift, slope and curvature for a class of yields correlation matrices, Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling, Accurate and fast computations with positive extended Schoenmakers-Coffey matrices, CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs, On the Level-Slope-Curvature Effect in Yield Curves and Eventual Total Positivity

Cites Work

• On the information in the interest rate term structure and option prices
• UNDERPRICING OF NEW EQUITY OFFERINGS BY PRIVATIZED FIRMS: AN INTERNATIONAL TEST
• A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT
• Totally positive matrices
• Unnamed Item
• Unnamed Item
• Unnamed Item