Timeline for What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean?
Current License: CC BY-SA 3.0
5 events
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| Feb 4, 2013 at 8:15 | comment | added | Richi Wa | Hi, for yield curve and forward rate analysis I recommend Overview of Forward Rates by Antti Ilmanen. Which forward rates to use? Why not all? $f(1,i), i = 2,\ldots,5$, $f(2,i), i = 3,\ldots,5$ and so on. From the construction of the forward rates the result can be guessed. E.g. $f(1,2) \approx 2 R_2 - R_1$ (approximately) so I guess the level factor will be present (due to the $2$) and the steepeining/flattening loading should be similar to $R1$ and $R_2$ but please do t he analysis and share the results. | |
| Feb 4, 2013 at 8:12 | history | edited | Richi Wa | CC BY-SA 3.0 |
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| Feb 3, 2013 at 21:28 | vote | accept | Louise | ||
| Feb 3, 2013 at 20:42 | history | edited | Richi Wa | CC BY-SA 3.0 |
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| Feb 3, 2013 at 20:36 | history | answered | Richi Wa | CC BY-SA 3.0 |