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

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)

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Cites work

• scientific article; zbMATH DE number 3138903 (Why is no real title available?)
• scientific article; zbMATH DE number 1793704 (Why is no real title available?)
• scientific article; zbMATH DE number 3269388 (Why is no real title available?)
• scientific article; zbMATH DE number 3348831 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT
• Correlation matrices of yields and total positivity
• Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application
• Eigenvectors of certain matrices
• Further comments on "On the eigenvectors of symmetric Toeplitz matrices"
• Interlacement of the even and odd spectra of real symmetric Toeplitz matrices
• Level–Slope–Curvature – Fact or Artefact?
• ON THE SPECTRAL DECOMPOSITION OF EMPIRICAL CORRELATION MATRICES
• Principal component analysis.
• Risk and asset allocation.
• Totally positive matrices

Cited in

(9)

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

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