Correlation matrices of yields and total
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Ernesto Salinelli; Carlo Sgarra
📂
Article
📅
2006
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Elsevier Science
🌐
English
⚖ 144 KB
It has been empirically observed that correlation matrices of forward interest rates have the first three eigenvalues which are simple and their corresponding eigenvectors, termed as shift, slope and curvature respectively, with elements presenting changes of sign in a regular way. These spectral pr