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The network structure of overnight index swap rates

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  • Fang, Ming
  • Taylor, Stephen
  • Uddin, Ajim

Abstract

Graph theoretical techniques are utilized to examine the centrality structure of overnight index swap (OIS) networks. Correlation based graphs are constructed to encode pairwise relationships between distinct OIS rates. Multiple notions of graph centrality are considered, and the time evolution of these measures is studied. A principal component analysis based centrality measure is constructed to examine comovements between full OIS curves. Numerical examples demonstrating these ideas are provided.

Suggested Citation

  • Fang, Ming & Taylor, Stephen & Uddin, Ajim, 2022. "The network structure of overnight index swap rates," Finance Research Letters, Elsevier, vol. 46(PB).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004141
    DOI: 10.1016/j.frl.2021.102425
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    More about this item

    Keywords

    Fixed income; Graph centrality; Overnight index swap rates; Principal component analysis;
    All these keywords.

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools

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