The study provides evidence of the nature of the volatility transmission for daily currency futures contracts traded at … futures contracts and the Japanese yen currency futures contracts are used to study inter-market spillover effects in the non …-overlapping time zones. Employing GARCH specifications, the results find strong volatility transmission only from the IMM to the SIMEX …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

internal relations between changes in yen exchange rate caused by Japan's earthquake and price fluctuation of international … crude oil, this research chooses middle rate of yen exchange rate during the 45 days around Japan's earthquake and price … crude oil price fluctuation during 45 days around Japan's earthquake that: the fluctuation of yen exchange rate around the …