Karen Leiton Rodriguez

Central Bank of Colombia

Carrera 7 #14-78

Bogota

Colombia

SCHOLARLY PAPERS

2

DOWNLOADS

107

TOTAL CITATIONS

1

Scholarly Papers (2)

1.

Extracting the Sovereigns’ CDS Market Hierarchy: A Correlation‐Filtering Approach

Number of pages: 26 Posted: 20 Feb 2014
Carlos León, Karen Leiton Rodriguez and Jhonatan Pérez
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia and Central Bank of Colombia
Downloads 67 (734,180)
Citation 1

Abstract:

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correlation, minimal spanning tree, correlation‐filtering, sovereign, credit default swap

Abstract:

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CAPM, Hurst exponent, long-term dependence, fractional brownian motion, rescaled range analysis