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

Borradores de Economia
Número: 
766
Publicado: 
Clasificación JEL: 
C32, G10, G11
Palabras clave: 
correlation, minimal spanning tree, correlation-filtering, sovereign

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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