Publicação: Long term economic relationships from cointegration maps
dc.contributor.author | Vicente, Renato | |
dc.contributor.author | Pereira, Carlos de B. | |
dc.contributor.author | Leite, Vitor Barbanti Pereira | |
dc.contributor.author | Caticha, Nestor | |
dc.contributor.institution | Universidade de São Paulo (USP) | |
dc.contributor.institution | Universidade Estadual Paulista (Unesp) | |
dc.date.accessioned | 2014-05-20T15:28:46Z | |
dc.date.available | 2014-05-20T15:28:46Z | |
dc.date.issued | 2007-07-01 | |
dc.description.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 (USIR), monthly inflation rates and gross domestic product (GDP) growth rates. (c) 2007 Elsevier B.V. All rights reserved. | en |
dc.description.affiliation | Univ São Paulo, CRIFE, Escola Artes Ciências & Humanidades, BR-03828020 São Paulo, Brazil | |
dc.description.affiliation | Univ Estadual Paulista, Dept Fis, IBILCE, BR-15054000 Sao Jose do Rio Preto, SP, Brazil | |
dc.description.affiliation | Univ São Paulo, Inst Fis, Dept Fis Geral, BR-05315970 São Paulo, Brazil | |
dc.description.affiliationUnesp | Univ Estadual Paulista, Dept Fis, IBILCE, BR-15054000 Sao Jose do Rio Preto, SP, Brazil | |
dc.format.extent | 317-324 | |
dc.identifier | http://dx.doi.org/10.1016/j.physa.2007.02.067 | |
dc.identifier.citation | Physica A-statistical Mechanics and Its Applications. Amsterdam: Elsevier B.V., v. 380, p. 317-324, 2007. | |
dc.identifier.doi | 10.1016/j.physa.2007.02.067 | |
dc.identifier.issn | 0378-4371 | |
dc.identifier.lattes | 0500034174785796 | |
dc.identifier.uri | http://hdl.handle.net/11449/38515 | |
dc.identifier.wos | WOS:000247243600027 | |
dc.language.iso | eng | |
dc.publisher | Elsevier B.V. | |
dc.relation.ispartof | Physica A: Statistical Mechanics and Its Applications | |
dc.relation.ispartofjcr | 2.132 | |
dc.relation.ispartofsjr | 0,773 | |
dc.rights.accessRights | Acesso restrito | |
dc.source | Web of Science | |
dc.subject | complex systems | pt |
dc.subject | econophysics | pt |
dc.subject | cointegration | pt |
dc.subject | clustering | pt |
dc.subject | Bayesian inference | pt |
dc.title | Long term economic relationships from cointegration maps | en |
dc.type | Artigo | |
dcterms.license | http://www.elsevier.com/about/open-access/open-access-policies/article-posting-policy | |
dcterms.rightsHolder | Elsevier B.V. | |
dspace.entity.type | Publication | |
unesp.author.lattes | 0500034174785796 | |
unesp.author.orcid | 0000-0003-0671-9895[1] | |
unesp.campus | Universidade Estadual Paulista (UNESP), Instituto de Biociências, Letras e Ciências Exatas, São José do Rio Preto | pt |
unesp.department | Física - IBILCE | pt |
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