Extracting the sovereigns' CDS market hierarchy : a correlation-filtering approach
Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped into a distance and into a weighted adjacency matrix. Based on such matrix, network theory has attempted to filter out the noise in correl
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| Formato: | Documento de trabajo (Working Paper) |
| Lenguaje: | Español (Spanish) |
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Banco de la República
2013
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| Acceso en línea: | http://repositorio.banrep.gov.co/handle/20.500.12134/5906 |
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oai:RI-BanRep:20.500.12134-59062019-04-16T16:23:58Z Extracting the sovereigns' CDS market hierarchy : a correlation-filtering approach León-Rincón, Carlos Eduardo Leiton-Rodríguez, Karen Juliet Pérez-Villalobos, Jhonatan G11 - Portfolio Choice; Investment Decisions G10 - General Financial Markets: General C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models Correlation Minimal spanning tree Correlation-filtering Sovereign Credit default swap Crédito Análisis de series de tiempo Correlación Coeficiente de correlación G11 - Selección de cartera; Decisiones de inversión C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados G10 - Mercados financieros en general: Generalidades Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped into a distance and into a weighted adjacency matrix. Based on such matrix, network theory has attempted to filter out the noise in correl 2013-05-23 2013-05-23 Working Paper Documentos de trabajo Published Version http://repositorio.banrep.gov.co/handle/20.500.12134/5906 http://hdl.handle.net/20.500.12134/5906 spa Documentos de Trabajo Borradores de Economía Borradores de Economía; No. 766 https://ideas.repec.org/p/bdr/borrec/766.html Open Access https://creativecommons.org/licenses/by-nc-sa/4.0/ Acceso abierto Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva. PDF application/pdf image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg Bogotá Banco de la República |
| institution |
Repositorio Institucional del Banco de la República de Colombia |
| collection |
DSpace |
| language |
Español (Spanish) |
| topic |
G11 - Portfolio Choice; Investment Decisions G10 - General Financial Markets: General C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models Correlation Minimal spanning tree Correlation-filtering Sovereign Credit default swap Crédito Análisis de series de tiempo Correlación Coeficiente de correlación G11 - Selección de cartera; Decisiones de inversión C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados G10 - Mercados financieros en general: Generalidades |
| spellingShingle |
G11 - Portfolio Choice; Investment Decisions G10 - General Financial Markets: General C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models Correlation Minimal spanning tree Correlation-filtering Sovereign Credit default swap Crédito Análisis de series de tiempo Correlación Coeficiente de correlación G11 - Selección de cartera; Decisiones de inversión C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados G10 - Mercados financieros en general: Generalidades León-Rincón, Carlos Eduardo Leiton-Rodríguez, Karen Juliet Pérez-Villalobos, Jhonatan Extracting the sovereigns' CDS market hierarchy : a correlation-filtering approach |
| description |
Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped into a distance and into a weighted adjacency matrix. Based on such matrix, network theory has attempted to filter out the noise in correl |
| format |
Documento de trabajo (Working Paper) |
| author |
León-Rincón, Carlos Eduardo Leiton-Rodríguez, Karen Juliet Pérez-Villalobos, Jhonatan |
| author_facet |
León-Rincón, Carlos Eduardo Leiton-Rodríguez, Karen Juliet Pérez-Villalobos, Jhonatan |
| author_sort |
León-Rincón, Carlos Eduardo |
| title |
Extracting the sovereigns' CDS market hierarchy : a correlation-filtering approach |
| title_short |
Extracting the sovereigns' CDS market hierarchy : a correlation-filtering approach |
| title_full |
Extracting the sovereigns' CDS market hierarchy : a correlation-filtering approach |
| title_fullStr |
Extracting the sovereigns' CDS market hierarchy : a correlation-filtering approach |
| title_full_unstemmed |
Extracting the sovereigns' CDS market hierarchy : a correlation-filtering approach |
| title_sort |
extracting the sovereigns' cds market hierarchy : a correlation-filtering approach |
| publisher |
Banco de la República |
| publishDate |
2013 |
| url |
http://repositorio.banrep.gov.co/handle/20.500.12134/5906 |
| _version_ |
1637305827950854144 |
| score |
12,131701 |