Some results on correlation matrices for interest rates
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Publication:637511
DOI10.1007/s10440-011-9622-xzbMath1220.91041OpenAlexW2097523475MaRDI QIDQ637511
Ernesto Salinelli, Carlo Sgarra
Publication date: 6 September 2011
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10440-011-9622-x
Factor analysis and principal components; correspondence analysis (62H25) Eigenvalues, singular values, and eigenvectors (15A18) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integral equations (60H20)
Related Items (4)
On the Level-Slope-Curvature Effect in Yield Curves and Eventual Total Positivity ⋮ Accurate and fast computations with positive extended Schoenmakers-Coffey matrices ⋮ Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications ⋮ Exploring the total positivity of yields correlations
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