@article{Matteo2004AnIR,
title={An interest rates cluster analysis},
author={T. Matteo and T. Aste and R. Mantegna},
journal={Physica A-statistical Mechanics and Its Applications},
year={2004},
volume={339},
pages={181-188}
}

Physica A-statistical Mechanics and Its Applications

An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these time series which is investigated by using a clustering linkage procedure. Without any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in a hierarchical… CONTINUE READING