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- W2168390130 abstract "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 generalizations 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 a conjecture that the order present in correlation matrices cause slope." @default.
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- W2168390130 date "2007-05-01" @default.
- W2168390130 modified "2023-09-23" @default.
- W2168390130 title "Level–Slope–Curvature – Fact or Artefact?" @default.
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- W2168390130 doi "https://doi.org/10.1080/13504860600661111" @default.
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