dc.coverage.sucursal	Bogotá	spa
dc.creator	León-Rincón, Carlos Eduardo
dc.creator	Leiton-Rodríguez, Karen Juliet
dc.creator	Pérez-Villalobos, Jhonatan
dc.creator.firma	Carlos León	spa
dc.date.accessioned	2013-05-23T08:30:10Z	eng
dc.date.available	2013-05-23T08:30:10Z
dc.date.created	2013-05-23
dc.date.issued	2013-05-23
dc.description.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	eng
dc.format.mimetype	PDF	spa
dc.identifier.handle	https://hdl.handle.net/20.500.12134/5906	spa
dc.identifier.uri	https://repositorio.banrep.gov.co/handle/20.500.12134/5906
dc.language.iso	spa	spa
dc.publisher	Banco de la República	spa
dc.relation.doi	https://doi.org/10.32468/be.766	spa
dc.relation.ispartof	Documentos de Trabajo	spa
dc.relation.ispartofseries	Borradores de Economía	spa
dc.relation.isversionof	Borradores de Economía; No. 766
dc.relation.number	Borrador 766	spa
dc.relation.repec	https://ideas.repec.org/p/bdr/borrec/766.html	spa
dc.rights.accessRights	Open Access	eng
dc.rights.cc	Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0	eng
dc.rights.disclaimer	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.	spa
dc.rights.spa	Acceso abierto	spa
dc.rights.uri	https://creativecommons.org/licenses/by-nc-sa/4.0/	eng
dc.source.handleRepec	RePEc:bdr:borrec:766	spa
dc.subject.jel	G11 - Portfolio Choice; Investment Decisions	eng
dc.subject.jelspa	C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados	spa
dc.subject.keyword	Correlation	eng
dc.subject.keyword	Minimal spanning tree	eng
dc.subject.keyword	Correlation-filtering	eng
dc.subject.keyword	Sovereign	eng
dc.subject.keyword	Credit default swap	eng
dc.subject.lemb	Crédito	spa
dc.subject.lemb	Análisis de series de tiempo	spa
dc.subject.lemb	Correlación	spa
dc.subject.lemb	Coeficiente de correlación	spa
dc.title	Extracting the sovereigns' CDS market hierarchy : a correlation-filtering approach	spa
dc.type	Working Paper	eng
dc.type.hasversion	Published Version	eng
dc.type.spa	Documentos de trabajo	spa

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

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