Patterns of financial crisis: USD/CAD in 2007-2009.

With USD/CAD, I am continuing the series of reports focusing in the time evolution of the forex correlation shapes during the present financial crisis. Extending the time coverage up to the end of March, I see the need to make the picture a bit more complex with three, rather than two phases with considerably different volatility level, since the volatility is seen to abate at the end of January 2009. The bipolar correlation pattern, a major subject of this research, is seen to disappear during the peak of volatility, but reappear later.

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