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Correlation study
Hi everyone,I am trying to do a correlation study (in terms of futures and implied vol) between two assets: one in USD (on the CME) and one in EUR (on the LIFFE)I think it would be highly interesting to take out the FX impact in the difference between the two implied vol but I have no idea how to do that.Any idea?Thank you!Benjamin
Correlation study
why dont you calculate the returns in one currency and then compare ?
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