An interest rates cluster analysis

  title={An interest rates cluster analysis},
  author={T. Matteo and T. Aste and R. Mantegna},
  journal={Physica A-statistical Mechanics and Its Applications},
  • T. Matteo, T. Aste, R. Mantegna
  • Published 2004
  • Physics, Economics, Mathematics
  • 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
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