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

Ernesto Salinelli; Carlo Sgarra

doi:10.1016/j.laa.2007.05.041

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

Ernesto Salinelli
, Carlo Sgarra

Department of Translational Medicine

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper we study the ordering properties of the first two eigenvectors entries of the correlation matrices for forward rates in a relevant class of models. A conjecture for the third eigenvector entries behavior is given.

Original language	English
Pages (from-to)	650-666
Number of pages	17
Journal	Linear Algebra and Its Applications
Volume	426
Issue number	2-3
DOIs	https://doi.org/10.1016/j.laa.2007.05.041
Publication status	Published - 15 Oct 2007

Keywords

Correlation matrices
Exponential model
Forward rates
Principal component analysis

Access to Document

10.1016/j.laa.2007.05.041

Cite this

@article{9a96f5f6d44d47afbf4c0ddf73b6fcf7,

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

abstract = "In this paper we study the ordering properties of the first two eigenvectors entries of the correlation matrices for forward rates in a relevant class of models. A conjecture for the third eigenvector entries behavior is given.",

keywords = "Correlation matrices, Exponential model, Forward rates, Principal component analysis",

author = "Ernesto Salinelli and Carlo Sgarra",

note = "Funding Information: This research is partially supported by the Grant no. 2006132713-005 of the Italian Ministry of the Scientific Research. ∗ Corresponding author. Tel.: +39 02 2399 4546; fax: +39 02 2399 4621. E-mail addresses: [email protected] (E. Salinelli), [email protected] (C. Sgarra).",

year = "2007",

month = oct,

day = "15",

doi = "10.1016/j.laa.2007.05.041",

language = "English",

volume = "426",

pages = "650--666",

journal = "Linear Algebra and Its Applications",

issn = "0024-3795",

publisher = "Elsevier Inc.",

number = "2-3",

}

TY - JOUR

T1 - Shift, slope and curvature for a class of yields correlation matrices

AU - Salinelli, Ernesto

AU - Sgarra, Carlo

N1 - Funding Information: This research is partially supported by the Grant no. 2006132713-005 of the Italian Ministry of the Scientific Research. ∗ Corresponding author. Tel.: +39 02 2399 4546; fax: +39 02 2399 4621. E-mail addresses: [email protected] (E. Salinelli), [email protected] (C. Sgarra).

PY - 2007/10/15

Y1 - 2007/10/15

N2 - In this paper we study the ordering properties of the first two eigenvectors entries of the correlation matrices for forward rates in a relevant class of models. A conjecture for the third eigenvector entries behavior is given.

AB - In this paper we study the ordering properties of the first two eigenvectors entries of the correlation matrices for forward rates in a relevant class of models. A conjecture for the third eigenvector entries behavior is given.

KW - Correlation matrices

KW - Exponential model

KW - Forward rates

KW - Principal component analysis

U2 - 10.1016/j.laa.2007.05.041

DO - 10.1016/j.laa.2007.05.041

M3 - Article

SN - 0024-3795

VL - 426

SP - 650

EP - 666

JO - Linear Algebra and Its Applications

JF - Linear Algebra and Its Applications

IS - 2-3

ER -

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

Abstract

Keywords

Access to Document

Fingerprint

Cite this