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

2013-05-23

Authors

León-Rincón, Carlos Eduardo
Leiton-Rodríguez, Karen Juliet
Pérez-Villalobos, Jhonatan

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ISSN

ISBN

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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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

Description

JEL Codes

G11 - Portfolio Choice; Investment Decisions

Temática

Keywords

Keywords

Correlation , Minimal spanning tree , Correlation-filtering , Sovereign , Credit default swap

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5906
 https://hdl.handle.net/20.500.12134/5906
 https://ideas.repec.org/p/bdr/borrec/766.html
 https://doi.org/10.32468/be.766

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