An interest rates cluster analysis

@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}
}
  • 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
    40 Citations
    Correlation filtering in financial time series (Invited Paper)
    • 10
    Estimation of Factors for Term Structures with Dependence Clusters
    A review of two decades of correlations, hierarchies, networks and clustering in financial markets
    • 29
    • PDF
    Modeling default probabilities: The case of Brazil
    • B. Tabak, B. Tabak, André Victor D. Luduvice, Daniel O. Cajueiro, Daniel O. Cajueiro
    • Economics
    • 2011
    • 14
    • PDF
    Macroeconomic Relaxation: Adjustment Processes of Hierarchical Economic Structures
    • 4
    • PDF
    Multi-scaling in Finance
    • 266
    • PDF

    References

    SHOWING 1-10 OF 13 REFERENCES
    Statistical analysis of fixed income market
    • 20
    Hierarchical structure in financial markets
    • 1,332
    • PDF
    Taxonomy of stock market indices
    • Bonanno, Vandewalle, Mantegna
    • Physics, Economics
    • Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics
    • 2000
    • 137
    • PDF
    An Introduc-tion to High-Frequency Finance
    • 949
    • PDF
    High-frequency cross-correlation in a set of stocks
    • 219
    • PDF
    4 Modeling the term structure
    • 18
    Topology of correlation-based minimal spanning trees in real and model markets.
    • 351
    • PDF