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In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the …
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This paper considers the changing value of the yen and its impact on the Japanese stock market during the last three …. In addition, we found the response to a rising or falling yen to be asymmetric. The dispersion of yen sensitivity is also … conditions. We also found that yen sensitivity can contribute substantially to stock volatility …
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