Autore
Salinelli, Ernesto

Titolo
Some results on Shift, Slope and Curvature
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2009 - Fascicolo: 3 - Pagina iniziale: 1 - Pagina finale: 31

The first three eigenvectors of correlation matrices for interest rates exhibit a very peculiar structure that justify their name of Shift, Slope and Curvature. Some recent papers have introduced a formal definition, distinguishing between the ordering and the sign changes of their components. We provide a general and systematic investigation on the relations among some standard features of correlation models for interest rates and the existence of Shift, Slope and Curvature both in the case in which only the sign of their components are relevant (WSSC) and in the case in which also their ordering comes into play (SSC). Our results show how the presence of SSC, excluding some peculiar behavior strictly related to low dimensions, can not be directly connected to the usual assumptions on the interest rates correlations structure. We provide also some estimates of the distance between a Shift and the vector, named Pure Shift, having all entries equal, analyzing some interesting properties of the equicorrelation model. Finally, we prove the existence of WSSC for a relevant class of models.



Testo completo: http://semeq.unipmn.it/files/quaderno%20completo%203.pdf

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