Shift, slope and curvature for a class of yields correlation matrices

DOI10.1016/J.LAA.2007.05.041zbMATH Open1131.15023OpenAlexW2111047780MaRDI QIDQ996318FDOQ996318

Authors: E. Salinelli, Carlo Sgarra 

Publication date: 14 September 2007

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2007.05.041

Recommendations

• Upper bound for the Lempert function of smooth domains
• Some results on correlation matrices for interest rates
• Correlation matrices of yields and total positivity
• Exploring the total positivity of yields correlations
• Level–Slope–Curvature – Fact or Artefact?

zbMATH Keywords

principal component analysisyield curvecorrelation matrixeigenvectorexponential modelcurvaturetotal positivityshiftpositive matrixslopesign variation

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Eigenvalues, singular values, and eigenvectors (15A18) Positive matrices and their generalizations; cones of matrices (15B48)

Cites Work

• Principal component analysis.
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• Totally positive matrices
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• Level–Slope–Curvature – Fact or Artefact?
• Risk and asset allocation.
• Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application
• Correlation matrices of yields and total positivity
• A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT
• Interlacement of the even and odd spectra of real symmetric Toeplitz matrices
• Further comments on "On the eigenvectors of symmetric Toeplitz matrices"
• ON THE SPECTRAL DECOMPOSITION OF EMPIRICAL CORRELATION MATRICES

Cited In (8)

• Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications
• Exploring the total positivity of yields correlations
• Level–Slope–Curvature – Fact or Artefact?
• Accurate and fast computations with positive extended Schoenmakers-Coffey matrices
• A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT
• Upper bound for the Lempert function of smooth domains
• Some results on correlation matrices for interest rates
• Correlation matrices of yields and total positivity

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