A complete understanding of Shift, Slope and Curvature for a class of yields correlation matrices
classification
🧮 math.NA
math.SP
keywords
completecorrelationcurvaturematricesshiftslopeclasscontent
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.