A complete understanding of Shift, Slope and Curvature for a class of yields correlation matrices
Numerical Analysis
2012-07-26 v2 Spectral Theory
Abstract
In this paper we give complete results on the presence of Shift, Slope and Curvature for a correlation model of interest rates, by improving and extending the content of a previous paper on the subject. We get our goal essentially exploiting some properties of Green's matrices and the notion of convexity for eigenvectors.
Keywords
Cite
@article{arxiv.1207.3201,
title = {A complete understanding of Shift, Slope and Curvature for a class of yields correlation matrices},
author = {Ernesto Salinelli and Debora Sesana},
journal= {arXiv preprint arXiv:1207.3201},
year = {2012}
}
Comments
This paper has been withdrawn by the author due to a review