An Interest Rates Cluster Analysis
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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]
Collections | ANU Research Publications |
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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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