Multi-label classification (MLC) is a very explored field in recent years. The most common approaches that deal with MLC problems are classified into two groups: (i) problem transformation which aims to adapt the multi-label data, making the use of traditional binary or multiclass classification algorithms feasible, and (ii) algorithm adaptation which focuses on modifying algorithms used into binary or multiclass classification, enabling them to make multi-label predictions. Several approaches have been proposed aiming to explore the relationships among the labels, with some of them through the transformation of a flat multilabel label space into a hierarchical multi-label label space, creating a tree-structured label taxonomy and inducing a hierarchical multilabel classifier to solve the classification problem. This paper presents a novel method in which a label hierarchy structured as a directed acyclic graph (DAG) is created from the multi-label label space, taking into account the label co-occurrences using the notion of closed frequent labelset. With this, it is possible to solve an MLC task as if it was a hierarchical multi-label classification (HMC) task. Global and local HMC approaches were tested with the obtained label hierarchies and compared with the approaches using tree-structured label hierarchies showing very competitive results. The main advantage of Article Title the proposed approach is better exploration and representation of the relationships between labels through the use of DAG-structured taxonomies, improving the results. Experimental results over 32 multi-label datasets from different domains showed that the proposed approach is better than related approaches in most of the multi-label evaluation measures. Moreover, we found that both tree and in specially DAG-structured label hierarchies combined with a local hierarchical classifier are more suitable to deal with imbalanced multi-label datasets.