This paper investigates the impact of the 2008–2009 global financial crisis on the co-movement of 16 currencies in the sample. It employs a two-step atheoretic empirical methodology; it i) applies change point estimation based on geometric Brownian motion to detect change points in...

The aims of this study are to assess exchange rate co-movements by grouping the currencies based on similarities in their patterns, and to emphasize the importance of the trajectories of exchange rate co-movements in the exchange rate classification. Hierarchical clustering is performed with...