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Zoekresultaten

Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2007"

AuteursR. Lord, A.A.J. Pelsser
TitelLevel-slope-curvature : fact of artefact?
TijdschriftApplied Mathematical Finance
Jaargang14
Jaar2007
Nummer2
Pagina's105-130
ISSN1350486X
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
SamenvattingThe first three factors resulting from a principal components analysis of term structure data are, in the literature, typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalizations of theorems from total positivity, we present sufficient conditions under which level, slope and curvature are present. These conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate a conjecture that the order present in correlation matrices cause slope.

Keywords: Principal components analysis; correlation matrix; term structure; total positivity; oscillation matrix; Schoenmakers-Coffey matrix
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