Fu, Tian Yong; Holmes, Mark J.; Choi, Daniel F.S. - In: Studies in Economics and Finance 28 (2011) March, pp. 36-50
Purpose – The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign exchange markets. Design/methodology/approach – In contrast to the existing literature, industry-level stock data are applied to a trivariate Baba, Engle, Kraft and...