Originally Posted by
;
Well, I had been working out of the logarithm of consecutive closing prices for the following 5 pairs (I've put them into indirect to make it easier on self):
AUD/GBP, AUD/MXP, AUD/CHF, AUD/NZD and AUD/ISK, together with the following sample correlations
AUD/GBP - AUD/MXP: -0.452885
AUD/GBP - AUD/CHF: 0.905765
AUD/GBP - AUD/NZD: 0.023389
AUD/GBP - AUD/ISK: -0.466430
AUD/MXP - AUD/CHF: -0.497812
AUD/MXP - AUD/NZD: 0.103609
AUD/MXP - AUD/ISK: 0.609864
AUD/CHF - AUD/NZD: -0.006788
AUD/CHF - AUD/ISK: -0.456123
AUD/NZD - AUD/ISK: 0.036772
As all the pairs have mixed signals, just inverting some of these won't solve my issue.
Bopik's copula proposal worked fine when there is one correlated pair of pairs, but fell apart with 2 and much more.