Extracting the sovereigns´ CDS market hierarchy: a correlation-filtering approach
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More about this item
Keywords
correlation; minimal spanning tree; correlation-filtering; sovereign; credit default swap;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CIS-2013-06-04 (Confederation of Independent States)
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