Nikkinen, Jussi; Vähämaa, Sami - In: Journal of Empirical Finance 16 (2009) 5, pp. 862-873
This paper examines the effects of the foreign exchange market interventions by the Bank of Japan on the ex ante correlations between the JPY/USD, EUR/USD, and GBP/USD exchange rates. The correlation estimates used in the analysis are derived from the market prices of OTC currency options. The...