TY - JOUR
T1 - The network structure of overnight index swap rates
AU - Fang, Ming
AU - Taylor, Stephen
AU - Uddin, Ajim
N1 - Publisher Copyright:
© 2021 Elsevier Inc.
PY - 2022/5
Y1 - 2022/5
N2 - 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.
AB - 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.
KW - Fixed income
KW - Graph centrality
KW - Overnight index swap rates
KW - Principal component analysis
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U2 - 10.1016/j.frl.2021.102425
DO - 10.1016/j.frl.2021.102425
M3 - Article
AN - SCOPUS:85114933654
SN - 1544-6123
VL - 46
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 102425
ER -