Cross-country hierarchical structure and currency crisis

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dc.creatorOrtega, Guillermo J.
dc.creatorMatesanz, David
dc.date2005-08-25
dc.date.accessioned2026-07-07T12:07:37Z
dc.date.available2026-07-07T12:07:37Z
dc.descriptionUsing data from a sample of 28 representatives countries, we propose a classification of currency crises consequences based on the ultrametric analysis of the real exchange rate movements time series, without any further assumption. By using the matrix of synchronous linear correlation coefficients and the appropriate metric distance between pairs of countries, we were able to construct a hierarchical tree of countries. This economic taxonomy provides relevant information regarding liaisons between countries and a meaningful insight about the contagion phenomenon
dc.descriptionIn press in International Journal of Modern Physics C
dc.identifierhttps://arxiv.org/abs/physics/0508188
dc.identifierhttp://arxiv.org/abs/physics/0508188
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209033
dc.subjectData Analysis, Statistics and Probability
dc.subjectGeneral Finance
dc.titleCross-country hierarchical structure and currency crisis
dc.typetext

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