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

<table>Information coupling between EURUSD, GBPUSD, USDCHF, and USDJPY log-returns plotted as a function of time. Also plotted is the FTSE-100 index, which is adjusted for ease of comparison. The vertical line corresponds to the September 2008 financial meltdown.</table>

International Scholarly Research Notices

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Figure 7

Figure 7: Dynamically Measuring Statistical Dependencies in Multivariate Financial Time Series Using Independent Component Analysis 