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

Borradores de Economia
Number: 
766
Published: 
Classification JEL: 
C32, G10, G11
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
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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