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- W3122770240 abstract "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’ eigenvector centrality; (ii) confirms the importance of geographical and credit rating clustering; (iii) identifies Russia, Turkey and Brazil as regional benchmarks; (iv) reveals the idiosyncratic nature of Japan and United States; (v) confirms that a small set of common factors affects the system; (vi) suggests that lower-medium grade rated sovereigns are the most influential, but also the most prone to contagion; and (vii) suggests the existence of a “Latin American common factor”." @default.
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- W3122770240 date "2014-12-01" @default.
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- W3122770240 title "Extracting the sovereigns’ CDS market hierarchy: A correlation-filtering approach" @default.
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- W3122770240 doi "https://doi.org/10.1016/j.physa.2014.08.020" @default.
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