Arbeitspapier
Level-Slope-Curvature - Fact or Artefact?
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 generalisations 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 our conjecture that the order present in correlation matrices causes slope.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 05-083/2
- Klassifikation
-
Wirtschaft
Econometric Modeling: General
Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
General Financial Markets: General (includes Measurement and Data)
- Thema
-
Principal components analysis
correlation matrix
total positivity
oscillation matrix
Schoenmakers-Coffey matrix
Zinsstruktur
Korrelation
Faktorenanalyse
Theorie
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lord, Roger
Pelsser, Antoon
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lord, Roger
- Pelsser, Antoon
- Tinbergen Institute
Entstanden
- 2005
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