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.
Shift, Slope and Curvature for a class of Correlation Matrices for Yields
SALINELLI, Ernesto;
2007-01-01
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.File in questo prodotto:
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