Revisiting the Comovement of Cross-Currency Basis and the Dollar: A Rolling Correlation Approach

Komla Agudze; Oyakhilome Ibhagui; Bolarinwa Thompson

doi:10.3905/joi.2020.1.123

Revisiting the Comovement of Cross-Currency Basis and the Dollar: A Rolling Correlation Approach

Komla Agudze, Oyakhilome Ibhagui and Bolarinwa Thompson

The Journal of Investing April 2020, 29 (3) 89-107; DOI: https://doi.org/10.3905/joi.2020.1.123

Komla Agudze

is a research affiliate and senior research fellow at Baum Tenpers Research in Lagos, Nigeria

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Oyakhilome Ibhagui

is a research affiliate and senior research fellow at Baum Tenpers Research in Lagos, Nigeria

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Bolarinwa Thompson

is a senior research assistant at Baum Tenpers Research in Lagos, Nigeria and a PhD candidate at Obafemi Awolowo University in Ife, Nigeria

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Revisiting the Comovement of Cross-Currency Basis and the Dollar: A Rolling Correlation Approach

Komla Agudze, Oyakhilome Ibhagui, Bolarinwa Thompson

The Journal of Investing Mar 2020, 29 (3) 89-107; DOI: 10.3905/joi.2020.1.123

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Revisiting the Comovement of Cross-Currency Basis and the Dollar: A Rolling Correlation Approach

Komla Agudze, Oyakhilome Ibhagui, Bolarinwa Thompson

The Journal of Investing Mar 2020, 29 (3) 89-107; DOI: 10.3905/joi.2020.1.123

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