How well are currency pairs Cointegrated as opposed to correlated? Has anyone done any work on this subject or could pass on some links?
Based on my observation, it would seem that correlated pairs (EURUSD vs USDCHF for example) tend to trend in the direction of the interest rate differential over an intermediate term (daily/weekly) as opposed to mean revert. Any comments, etc.?
Based on my observation, it would seem that correlated pairs (EURUSD vs USDCHF for example) tend to trend in the direction of the interest rate differential over an intermediate term (daily/weekly) as opposed to mean revert. Any comments, etc.?