Shift, slope and curvature for a class of yields correlation matrices-Reference-Cited by-同舟云学术

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

Published:2007-10 Issue:2-3 Volume:426 Page:650-666
ISSN:0024-3795
Container-title:Linear Algebra and its Applications
language:en
Short-container-title:Linear Algebra and its Applications

Author:

Salinelli Ernesto,Sgarra Carlo

Publisher

Elsevier BV

Subject

Discrete Mathematics and Combinatorics,Geometry and Topology,Numerical Analysis,Algebra and Number Theory

Reference22 articles.

1. Common factors affecting bond returns;Litterman;J. Fixed Income,1991

2. Interest-Rate Option Models;Rebonato,1996

3. PCA of the yield curve dynamics: questions of methodologies;Lardic;J. Bond Trading Manage.,2003

4. Principal Component Analysis;Jolliffe,1986

5. Correlation matrices of yields and total positivity;Salinelli;Linear Algebra Appl.,2006

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Green Matrices, Minors and Hadamard Products;Axioms;2023-08-10

2. On the Factor Structure of Bond Returns;Econometrica;2022

3. Principal component analysis in negative interest rate environment;Acta Oeconomica;2019-03

4. Deconstructing the Yield Curve;SSRN Electronic Journal;2019

5. Accurate and fast computations with positive extended Schoenmakers-Coffey matrices;Numerical Linear Algebra with Applications;2016-09-27

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