Extracting the sovereigns' CDS market hierarchy : a correlation-filtering approach

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Borradores de Economía; No. 766
Date published
2013-05-23
Date of last update
2013-05-23
Author
León-Rincón, Carlos Eduardo
Leiton-Rodríguez, Karen Juliet
Pérez-Villalobos, Jhonatan
Document language
spa
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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.
Abstract
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
JEL Codes
G11 - Portfolio Choice; Investment DecisionsG10 - General Financial Markets: GeneralC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Keywords
Correlation ; Minimal spanning tree ; Correlation-filtering ; Sovereign ; Credit default swap ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5906
https://hdl.handle.net/20.500.12134/5906
https://doi.org/10.32468/be.766
https://ideas.repec.org/p/bdr/borrec/766.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit