León, Carlos; Leiton, Karen; Pérez, Jhonatan - In: Physica A: Statistical Mechanics and its Applications 415 (2014) C, pp. 407-420
This paper employs correlation-into-distance mapping techniques and a minimal spanning tree-based correlation-filtering methodology on 36 sovereign CDS spread time-series in order to identify the sovereigns’ informational hierarchy. The resulting hierarchy (i) concurs with sovereigns’...