Research Article

Dynamically Measuring Statistical Dependencies in Multivariate Financial Time Series Using Independent Component Analysis

Figure 5

(a) Three approaches used to measure temporal dependencies between AUDUSD and USDJPY log-returns. (b) Range of confidence intervals ( ) plotted as a function of time, showing the uncertainty associated with the information coupling measurements. The vertical lines correspond to the September 2008 financial meltdown.
434832.fig.005a
(a)
434832.fig.005b
(b)