clustering technique, we find a clear two-block structure in currency comovements with the first block containing mostly the … dollar currencies, and the other the European currencies. A factor model incorporating this “clustering” factor and two … additional factors, a commodity currency factor and a “world” factor based on trading volumes, fits currency basket correlations …

“clustering” factor and two additional factors, a commodity currency factor and a “world” factor based on trading volumes, fits … using “currency baskets.” A clustering technique reveals a clear two-block structure in currency comovements with the first …

clustering technique, we find a clear two-block structure in currency comovements with the first block containing mostly the … dollar currencies, and the other the European currencies. A factor model incorporating this "clustering" factor and two … additional factors, a commodity currency factor and a "world" factor based on trading volumes, fits currency basket correlations …