We examine the high frequency dynamics of euro to Japanese yen foreign currency exchange rates for the period of January 2001 to January 2010, comprising approximately three million data entries. The probability density function is described competently by the Tsallis q-Gaussian statistics,...

The collapse of Japanese asset prices in the 1990s sharply reduced the wealth of Japanese banks and life insurers and slowed their international activity. This article traces the channels through which wealth changes altered these intermediaries' growth, pricing, and portfolio strategies. The...

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric...