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

Carlos Eduardo
León-Rincón
Karen Juliet
Leiton-Rodríguez
Jhonatan
Pérez-Villalobos
Miércoles, 1 Mayo 2013

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