Correlation Matrices of yields and Total Positivity
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- Kotz, Samuel & Pearn, W. L. & Wichern, Dean W., 1984. "Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application," Statistics & Probability Letters, Elsevier, vol. 2(3), pages 119-125, May.
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- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
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Keywords
Forward rates; Correlation matrices; Principal Component Analysis; Total Positivity;All these keywords.
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