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...

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...

In this paper we study convolution residuals, that is, if <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$X_1,X_2,\ldots ,X_n$$</EquationSource> </InlineEquation> are independent random variables, we study the distributions, and the properties, of the sums <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$\sum _{i=1}^lX_i-t$$</EquationSource> </InlineEquation> given that <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$\sum _{i=1}^kX_it$$</EquationSource> </InlineEquation>, where <InlineEquation ID="IEq4"> <EquationSource Format="TEX">$$t\in \mathbb R $$</EquationSource> </InlineEquation>, and <InlineEquation ID="IEq5"> <EquationSource Format="TEX">$$1\le k\le l\le n$$</EquationSource> </InlineEquation>....</equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation>

This paper studies a class of multidimensional screening models where different type dimensions can be aggregated into a single-dimensional sufficient statistic. The paper applies results of totally positive functions to show that some critical properties of distributions of asymmetric...

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...

It has been empirically observed that correlation matrices of forward interest rates have the first three eigenvalues which are simple and their corresponding eigenvectors, termed as shift, slope and curvature respectively, with elements presenting changes of sign in a regular way. These...

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...