Zhang, Gaiyan; Yau, Jot; Fung, Hung-gay - In: Applied financial economics 20 (2010) 4/6, pp. 439-458
Using daily data of four currencies (Japanese Yen (JPY), Euro (EUR), British Pound (GBP) and Australian Dollar (AUD)) in terms of the US Dollar (USD), and JPY, USD, GBP and AUD in terms of the EUR from January 2004 to February 2008, we examine the lead-lag relationship between the Credit Default...
