NANASPJul 25, 2012

A complete understanding of Shift, Slope and Curvature for a class of yields correlation matrices

arXiv:1207.320110 citationsh-index: 13

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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.

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