Robustness of a Noise Filtering Procedure for Correlation Matrices: A. Filtering of Deliberately Introduced Noise from Empirical Correlation Matrices

One of the most widely used methods to build yield curve models is to use principal components analysis on the correlation matrix of the innovations. R. Litterman and J. Scheinkman found that three factors are enough to explain most of the moves in the case of the US treasury curve. These factors are level, steepness and curvature. Working in the context of commodity futures, G. Cortazar and E. Schwartz found that the spectral structure of the correlation matrices is strikingly similar to those found by R. Litterman and J. Scheinkman. We observe that in both cases the correlation between two different contracts maturing at times t and s is roughly of the form ρ|t-s|, for a certain (fixed) 0≤ρ≤1. Assuming this correlation structure we prove that the observed factors are perturbations of cosine waves.

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Semi-empirical correlation function for one and two-ionic component plasmas

Journal de Physique ◽

10.1051/jphys:01986004703043700 ◽

1986 ◽

Vol 47 (3) ◽

pp. 437-446 ◽

Cited By ~ 21

Author(s):

B. Held ◽

P. Pignolet

Keyword(s):

Correlation Function ◽

Empirical Correlation ◽

Ionic Component ◽

Semi Empirical

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On Random Correlation Matrices. 2. The Toeplitz Case

10.21236/ada208229 ◽

1989 ◽

Author(s):

R. B. Holmes

Keyword(s):

Correlation Matrices

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Correlation Matrices with the Perron-Frobenius Property

SSRN Electronic Journal ◽

10.2139/ssrn.2493844 ◽

2014 ◽

Cited By ~ 1

Author(s):

Phelim P. Boyle ◽

Shui Feng ◽

David Melkuev ◽

Johnew Zhang

Keyword(s):

Correlation Matrices

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Sectoral Analysis of Foreign Direct Investment in India During First Generation Reform Period

Journal of Commerce and Accounting Research ◽

10.21863/jcar/2015.4.2.009 ◽

2015 ◽

Vol 4 (2) ◽

Author(s):

Manoj Kumar Sinha

Keyword(s):

First Generation ◽

Correlation Matrices ◽

Foreign Investors ◽

Industrial Policies ◽

Sectoral Analysis ◽

Industrial Sectors ◽

Reform Period ◽

Service Sectors ◽

Almost All ◽

Rank Dominance

Since 1991, India has cautiously and slowly opened almost all the sectors, except a few related to strategic importance, for foreign investors. Degree of openness of various industrial sectors for FDI has been increased to the extent of 100 percent by consistently liberalizing industrial policies of the sectors. The purpose of the paper is to study pattern and trends of sectoral distribution of FDI within the background of the first generation reforms and liberalized industrial policies during 1991-2001. The paper has used series of the dynamics and stylistic indices and statistical tools such as three level indices, index of rank dominance, and correlation matrices for explaining the pattern of FDI distribution across sectors during 1991-2001. The results show that electrical, transportation, chemical, telecommunication, and service sectors are most dominating sectors and represent almost 75 percent of total FDI received during 1991-2001. Index of rank dominance indicates distribution of FDI across the sectors is top heavy.

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