𝔖 Bobbio Scriptorium
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The eigenstructure of block-structured correlation matrices and its implications for principal component analysis

✍ Scribed by Cadima, Jorge; Calheiros, Francisco Lage; Preto, Isabel P.

Book ID
111654170
Publisher
Taylor and Francis Group
Year
2010
Tongue
English
Weight
156 KB
Volume
37
Category
Article
ISSN
0266-4763

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## Abstract This article presents a family of term structure models that can be applied to value contingent claims in multicommodity and seasonal markets. We apply the framework to the futures contracts on crude and heating oils trading on NYMEX. We show how to deal with the problem of having to va