dorsal/arxiv
View SchemaLong Term Economic Relationships From Cointegration Maps
| Authors | Renato Vicente, Carlos de B. Pereira, Vitor B. P. Leite, Nestor Caticha |
|---|---|
| Categories | |
| ArXiv ID | physics/0701062 |
| URL | https://arxiv.org/abs/physics/0701062 |
| DOI | 10.1016/j.physa.2007.02.067 |
| Journal | Physica A 380 (2007) 317-324 |
Abstract
We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the Sorting Points Into Neighborhoods (SPIN) technique, which has been previously used to analyze large data sets from DNA arrays. We exemplify the technique in three data sets: US interest rates, monthly inflation rates and gross domestic product growth rates.
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"abstract": "We employ the Bayesian framework to define a cointegration measure aimed to\nrepresent long term relationships between time series. For visualization of\nthese relationships we introduce a dissimilarity matrix and a map based on the\nSorting Points Into Neighborhoods (SPIN) technique, which has been previously\nused to analyze large data sets from DNA arrays. We exemplify the technique in\nthree data sets: US interest rates, monthly inflation rates and gross domestic\nproduct growth rates.",
"arxiv_id": "physics/0701062",
"authors": [
"Renato Vicente",
"Carlos de B. Pereira",
"Vitor B. P. Leite",
"Nestor Caticha"
],
"categories": [
"physics.soc-ph",
"physics.data-an",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.02.067",
"journal_ref": "Physica A 380 (2007) 317-324",
"title": "Long Term Economic Relationships From Cointegration Maps",
"url": "https://arxiv.org/abs/physics/0701062"
},
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