ON THE SPECTRAL DECOMPOSITION OF EMPIRICAL CORRELATION MATRICES

DOI10.1142/S0218216501001396zbMath1002.91063OpenAlexW2122380771MaRDI QIDQ4541068

Liliana Forzani, Carlos Tolmasky

Publication date: 30 July 2002

Published in: Journal of Knot Theory and Its Ramifications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218216501001396

zbMATH Keywords

correlation matricesprincipal components analysisyield curvesfuture curves

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items

Shift, slope and curvature for a class of yields correlation matrices

Cites Work

• The Pricing of Options and Corporate Liabilities
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation