Shift, slope and curvature for a class of yields correlation matrices

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.

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Bibliographic Details
Published in:Linear algebra and its applications 2007-10, Vol.426 (2), p.650-666
Main Authors: Salinelli, Ernesto, Sgarra, Carlo
Format: Article
Language:English
Subjects:
Algebra
Correlation matrices
Exact sciences and technology
Exponential model
Forward rates
Linear and multilinear algebra, matrix theory
Mathematics
Principal component analysis
Sciences and techniques of general use
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Description
Summary: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.
ISSN:0024-3795
1873-1856
DOI:10.1016/j.laa.2007.05.041