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The covariance structure of zero-rates
can be obtained right away.
With
the conditional zero-rates follow the process
 |
(14) |
where
,
,
and the instantaneous conditional covariances are
 |
(15) |
The results of section
on eigenvalues of outer
product matrices shows thet the covariances
have exactly
positive
eigenvalues (counting multiplicities).
Markus Mayer
2009-06-22