@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",
}