|
| << previous | next >> |
Journal description
All volumes of the corresponding journal
All issues of the corresponding volume
All articles of the corresponding issues
Details for article 26 of 56 found articles
| Title: |
Level-Slope-Curvature - Fact or Artefact? |
| Author: |
Lord, Roger Pelsser, Antoon |
| Appeared in: |
Applied mathematical finance |
| Paging: | Volume 14 (2007) nr. 2 pages 105-130 |
| Year: |
2007-05 |
| Contents: |
The 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. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 26 of 56 found articles
| << previous | next >> |