Chalamandaris, Georgios; Tsekrekos, Andrianos E. - In: Applied financial economics 20 (2010) 1/3, pp. 73-84
The liquidity crunch and the ensuing financial crisis have unambiguously affected all national economies and global currency exchange rates. In this article we ask whether the cross-currency correlation structure has changed since 2007. Using an extensive set of volatility surfaces implied from...
