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An Interest Rates Cluster Analysis

Di Matteo, Tiziana; Aste, Tomaso; Mantegna, R N

Description

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...[Show more]

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
URI: http://hdl.handle.net/1885/77478
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/j.physa.2004.03.041

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