Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86522
Authors: 
Lord, Roger
Pelsser, Antoon
Year of Publication: 
2005
Series/Report no.: 
Tinbergen Institute Discussion Paper 05-083/2
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 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.
Subjects: 
Principal components analysis
correlation matrix
total positivity
oscillation matrix
Schoenmakers-Coffey matrix
JEL: 
C50
C60
G10
Document Type: 
Working Paper

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