Tamakoshi, G.; Hamori, S. - In: Applied Economics Letters 20 (2013) 4, pp. 404-409
This article examines the impacts of the European sovereign debt crisis on the Dynamic Conditional Correlation (DCC) between three European currencies (EUR, CHF and GBP) and the US dollar for 1-year maturities. We found that the correlation between each pair of the swap prices significantly...