Sultonov, Mirzosaid - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-13
In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the Nikkei Stock Average (Nikkei), the Tokyo Stock Price Index (TOPIX) and the TOPIX sectoral indices for the period of 10 February 2016 to 24 March 2017. We employed the exponential...