I came across a paper, not sure it originated from academia or a blog or such, that reported on applying principal components to build currency baskets from a set of individual currency pairs and to identify driving currencies. When I use the term basket then I mean a collection of individual cash fx pairs and to relate them linearly or non-linearly through different aggregator functions and weights. I am not talking about basket options here.
Has anyone come across such literature/paper/treatise/blog? I have spent a considerable amount of time in this area and only skimmed through that particular article, thought I had it bookmarked but apparently lost it. I am very interested in other related literature as well.