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Long term economic relationships from cointegration maps

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dc.contributor.authorVicente, Renato
dc.contributor.authorPereira, Carlos de B.
dc.contributor.authorLeite, Vitor Barbanti Pereira
dc.contributor.authorCaticha, Nestor
dc.contributor.institutionUniversidade de São Paulo (USP)
dc.contributor.institutionUniversidade Estadual Paulista (Unesp)
dc.date.accessioned2014-05-20T15:28:46Z
dc.date.available2014-05-20T15:28:46Z
dc.date.issued2007-07-01
dc.description.abstractWe 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.affiliationUniv São Paulo, CRIFE, Escola Artes Ciências & Humanidades, BR-03828020 São Paulo, Brazil
dc.description.affiliationUniv Estadual Paulista, Dept Fis, IBILCE, BR-15054000 Sao Jose do Rio Preto, SP, Brazil
dc.description.affiliationUniv São Paulo, Inst Fis, Dept Fis Geral, BR-05315970 São Paulo, Brazil
dc.description.affiliationUnespUniv Estadual Paulista, Dept Fis, IBILCE, BR-15054000 Sao Jose do Rio Preto, SP, Brazil
dc.format.extent317-324
dc.identifierhttp://dx.doi.org/10.1016/j.physa.2007.02.067
dc.identifier.citationPhysica A-statistical Mechanics and Its Applications. Amsterdam: Elsevier B.V., v. 380, p. 317-324, 2007.
dc.identifier.doi10.1016/j.physa.2007.02.067
dc.identifier.issn0378-4371
dc.identifier.lattes0500034174785796
dc.identifier.urihttp://hdl.handle.net/11449/38515
dc.identifier.wosWOS:000247243600027
dc.language.isoeng
dc.publisherElsevier B.V.
dc.relation.ispartofPhysica A: Statistical Mechanics and Its Applications
dc.relation.ispartofjcr2.132
dc.relation.ispartofsjr0,773
dc.rights.accessRightsAcesso restrito
dc.sourceWeb of Science
dc.subjectcomplex systemspt
dc.subjecteconophysicspt
dc.subjectcointegrationpt
dc.subjectclusteringpt
dc.subjectBayesian inferencept
dc.titleLong term economic relationships from cointegration mapsen
dc.typeArtigo
dcterms.licensehttp://www.elsevier.com/about/open-access/open-access-policies/article-posting-policy
dcterms.rightsHolderElsevier B.V.
dspace.entity.typePublication
unesp.author.lattes0500034174785796
unesp.author.orcid0000-0003-0671-9895[1]
unesp.campusUniversidade Estadual Paulista (UNESP), Instituto de Biociências, Letras e Ciências Exatas, São José do Rio Pretopt
unesp.departmentFísica - IBILCEpt

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São José do Rio Preto - IBILCE - Instituto de Biociências, Letras e Ciências Exatas