versão impressa ISSN 0185-1667
BRIDA, Juan Gabriel; MATESANZ GOMEZ, David e RISSO, Wiston Adrián. Hierarchical structure and dynamics in the exchange markets of Latin America. Inv. Econ [online]. 2009, vol.68, n.267, pp. 115-146. ISSN 0185-1667.
In this paper we study the hierarchical structure and dynamics of real exchange rate movements in the main Latin American markets. To do this, we introduce a method that combines the symbolic time series analysis (Daw et al., 2003) with the nearest neighbor single linkage clustering algorithm (Mantegna y Stanley, 2000). From symbolization of data we obtain a distance between different time series that can be used to construct a minimal spanning tree (MST), an ultrametric distance and a hierarchical tree (HT). These trees are used to detect dynamic connections and hierarchical organization of the Latin American currency markets from the construction of clusters according to their proximity.
Palavras-chave : time series analysis; minimal spanning tree; hierarchical tree; currency crisis; real exchange rate.