A complete understanding of Shift, Slope and Curvature for a class of yields correlation matrices
arXiv:1207.320110 citationsh-index: 13
Analysis pending
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.