Extracting the sovereigns’ CDS market hierarchy: a correlation-filtering approach
Year of publication: |
2013-05
|
---|---|
Authors: | Rincón, Carlos Eduardo León ; Leiton, Karen Julieth ; Villalobos, Jhonatan Perez |
Institutions: | Banco de la Republica de Colombia |
Subject: | Correlation | minimal spanning tree | correlation-filtering | sovereign | credit default swap |
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