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

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dc.coverage.sucursalBogotáspa
dc.creatorLeón-Rincón, Carlos Eduardo
dc.creatorLeiton-Rodríguez, Karen Juliet
dc.creatorPérez-Villalobos, Jhonatan
dc.creator.firmaCarlos León
dc.date.accessioned2013-05-23T08:30:10Zeng
dc.date.available2013-05-23T08:30:10Z
dc.date.created2013-05-23
dc.date.issued2013-05-23
dc.description.abstractSince 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 correleng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5906spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5906
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.766spa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 766
dc.relation.numberBorrador 766spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/766.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas 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.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:bdr:borrec:766spa
dc.subject.jelC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Modelseng
dc.subject.jelspaG11 - Selección de cartera; Decisiones de inversiónspa
dc.subject.keywordCorrelationeng
dc.subject.keywordMinimal spanning treeeng
dc.subject.keywordCorrelation-filteringeng
dc.subject.keywordSovereigneng
dc.subject.keywordCredit default swapeng
dc.subject.lembCréditospa
dc.subject.lembAnálisis de series de tiempospa
dc.subject.lembCorrelaciónspa
dc.subject.lembCoeficiente de correlaciónspa
dc.titleExtracting the sovereigns' CDS market hierarchy : a correlation-filtering approachspa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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