Tabak, Benjamin M.; Serra, Thiago R.; Cajueiro, Daniel O. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 7, pp. 1137-1149
This paper investigates the topological properties of the Brazilian term structure of interest rates network. We build the minimum spanning tree (MST), which is based on the concept of ultrametricity, using the correlation matrix for interest rates of different maturities. We show that the...