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A Survey of Total Positivity

✍ Scribed by G. Lusztig


Publisher
SP Birkhäuser Verlag Basel
Year
2008
Tongue
English
Weight
154 KB
Volume
76
Category
Article
ISSN
1424-9286

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Correlation matrices of yields and total
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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