Level–Slope–Curvature – Fact or Artefact?

DOI10.1080/13504860600661111zbMath1160.91334OpenAlexW2168390130MaRDI QIDQ5297931

Roger Lord, Antoon Pelsser

Publication date: 16 July 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600661111

zbMATH Keywords

total positivityterm structurecorrelation matrixprincipal components analysisoscillation matrixSchoenmakers-Coffey matrix

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Basic linear algebra (15A99)

Related Items (12)

A noisy principal component analysis for forward rate curves ⋮ On the Level-Slope-Curvature Effect in Yield Curves and Eventual Total Positivity ⋮ Term structure of interest rates estimation using rational Chebyshev functions ⋮ Accurate and fast computations with positive extended Schoenmakers-Coffey matrices ⋮ Accurate and fast computations with Green matrices ⋮ Some results on correlation matrices for interest rates ⋮ CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs ⋮ THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH ⋮ Shift, slope and curvature for a class of yields correlation matrices ⋮ Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications ⋮ Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling ⋮ Exploring the total positivity of yields correlations

Cites Work

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• On the information in the interest rate term structure and option prices
• UNDERPRICING OF NEW EQUITY OFFERINGS BY PRIVATIZED FIRMS: AN INTERNATIONAL TEST
• A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT
• Totally positive matrices

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