1. Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict. (2025). Zhou, Long ; Zhang, YI ; Wu, Baoxiu ; Liu, Zhidong.
   In: The North American Journal of Economics and Finance.
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2. Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets. (2023). Kayani, Umar Nawaz ; Mumtaz, Roohi ; Khan, Mrestyal ; Mughal, Khurrum Shahzad.
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3. The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?. (2021). Arreola Hernandez, Jose ; Ahmad, Wasim ; Saini, Seema ; Mishra, Ritesh Kumar.
   In: Resources Policy.
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4. Global equity market leadership positions through implied volatility measures. (2021). Padungsaksawasdi, Chaiyuth ; Parhizgari, A M.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:61:y:2021:i:c:p:180-205.

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5. Pricing VIX options with volatility clustering. (2020). Ma, Yong ; Li, Shenghong ; Jing, BO.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:40:y:2020:i:6:p:928-944.

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6. CBOE VIX and Jump-GARCH option pricing models. (2020). Yoon, Sun-Joong.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:69:y:2020:i:c:p:839-859.

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7. Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market. (2020). Wang, Yung-Jang ; Chang, Kuang-Liang ; He, Chi-Wei.
   In: Finance Research Letters.
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8. The contagion effects of volatility indices across the U.S. and Europe. (2020). Huang, Tze-Chin ; Chiang, Shu-Mei ; Chen, Chun-Da.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301315.

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9. Dynamic Responses of Major Equity Markets to the US Fear Index. (2019). Raffiee, Kambiz ; Macri, Joseph ; Adrangi, Bahram ; Chatrath, Arjun.
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10. Oil and energy sector stock markets: An analysis of implied volatility indexes. (2018). Dutta, Anupam.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:44:y:2018:i:c:p:61-68.

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11. Point process models for extreme returns: Harnessing implied volatility. (2018). Herrera, Rodrigo ; Clements, Adam.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175.

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12. The intraday volatility spillover index approach and an application in the Brexit vote. (2018). Nishimura, Yusaku ; Sun, Bianxia.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:55:y:2018:i:c:p:241-253.

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13. Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach. (2018). Jian, Zhihong ; Zhu, Zhican ; Wu, Shuai.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:37:y:2018:i:c:p:98-113.

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14. Canaries in the coal mine. The tale of two signals: the VIX and the MOVE Indexes.. (2017). Budd, Bruce .
    In: Proceedings of Economics and Finance Conferences.
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15. Examining volatility spillover between Asian countries’ stock markets. (2016). Jebran, Khalil ; Iqbal, Amjad.
    In: China Finance and Economic Review.
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16. Modelling the joint dynamics of oil prices and investor fear gauge. (2016). Ji, Qiang ; Fan, Ying.
    In: Research in International Business and Finance.
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17. Does the US Fear Gauge Impact on the Investor Fear Gauge in the Emerging Markets?. (2015). .
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18. HEDGING STRATEGY COMPARISONS OF VOLATILITY INDEX OPTIONS USING DIFFUSION MODELS. (2015). Lin, Jun-Biao.
    In: The International Journal of Business and Finance Research.
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19. On financial contagion and implied market volatility. (2014). Kenourgios, Dimitris.
    In: International Review of Financial Analysis.
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20. Pricing and hedging in the VIX derivative market. (2013). Kozarski, R..
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21. Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Peng, Yue.
    In: Annals of Finance.
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22. The variance risk premium around the world. (2011). Londono, Juan M..
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23. Volatility amongst firms in the Dow Jones Eurostoxx50 Index. (2008). Vo, Xuan Vinh ; Daly, Kevin.
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24. Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices. (2008). ijo, Janne .
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25. An empirical comparison of continuous-time models of implied volatility indices. (2007). Skiadopoulos, George ; Dotsis, George ; Psychoyios, Dimitris.
    In: Journal of Banking & Finance.
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1. A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices. (2024). Leung, Tim ; Zhao, Theodore.
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2. Flash crashes on sovereign bond markets €“ EU evidence. (2022). Haferkorn, Martin ; Panzarino, Onofrio ; Marseglia, Gaetano ; Bouveret, Antoine.
   In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems).
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3. Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets. (2021). Wong, Wing-Keung ; Hassan, Arshad ; Zada, Hassan.
   In: Economies.
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4. The effect of return jumps on herd behavior. (2020). Wanidwaranan, Phasin ; Padungsaksawasdi, Chaiyuth.
   In: Journal of Behavioral and Experimental Finance.
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5. Testing the lag structure of assets’ realized volatility dynamics. (2015). Camponovo, Lorenzo ; Audrino, Francesco ; Roth, Constantin .
   In: Economics Working Paper Series.
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6. Volatility forecasting using high frequency data: Evidence from stock markets. (2014). Elik, Sibel ; Ergin, Huseyin.
   In: Economic Modelling.
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7. Reexamining the time-varying volatility spillover effects: A Markov switching causality approach. (2013). Zheng, Tingguo ; Zuo, Haomiao .
   In: The North American Journal of Economics and Finance.
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8. Large volatility matrix inference via combining low-frequency and high-frequency approaches. (2011). Wang, Yahzen ; Yao, Qiwei ; Tao, Minjing ; Zou, Jian.
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9. The model-free measures and the volatility spread. (2010). Liu, Xiaoquan ; Chen, Jian.
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10. Explaining asymmetric volatility around the world. (2010). Talpsepp, Tõnn, ; Rieger, Marc Oliver.
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11. The relationship between the volatility of returns and the number of jumps in financial markets. (2009). Cartea, Álvaro ; Karyampas, Dimitrios.
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12. The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets. (2009). Cartea, Álvaro ; Karyampas, Dimitrios.
    In: Birkbeck Working Papers in Economics and Finance.
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13. Measuring causality between volatility and returns with high-frequency data. (2008). Taamouti, Abderrahim ; Garcia, René ; Dufour, Jean-Marie.
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14. MIDAS Regressions: Further Results and New Directions. (2007). Valkanov, Rossen ; Ghysels, Eric ; Sinko, Arthur.
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15. Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation. (2007). GHORBEL, Ahmed ; Trabelsi, Abdelwahed.
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16. Why Do Absolute Returns Predict Volatility So Well?. (2007). Forsberg, Lars ; Ghysels, Eric.
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17. Further evidence on the impact of economic news on interest rates. (2007). Guegan, Dominique.
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18. Multifrequency news and stock returns. (2007). Fisher, Adlai ; Calvet, Laurent.
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19. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
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20. 09/11 on the USD/EUR foreign exchange market. (2006). Mende, Alexander.
    In: Applied Financial Economics.
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21. Predicting volatility: getting the most out of return data sampled at different frequencies. (2006). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: Journal of Econometrics.
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22. Realized Variance and Market Microstructure Noise. (2006). Lunde, Asger ; Hansen, Peter.
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23. Estimating Integrated Volatility Using Absolute High-Frequency Returns. (2006). Ysusi, Carla.
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24. Detecting Jumps in High-Frequency Financial Series Using Multipower Variation. (2006). Ysusi, Carla.
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25. Practical volatility and correlation modeling for financial market risk management. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
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26. Finite Sample Accuracy Of Integrated Volatility Estimators. (2005). Nielsen, Morten ; Frederiksen, Per Houmann.
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27. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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28. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil.
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29. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil.
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30. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Graversen, Sven Erik ; Jacod, Jean.
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31. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
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32. Multifrequency News and Stock Returns. (2005). Fisher, Adlai ; Calvet, Laurent.
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33. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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34. 09/11 on the USD/EUR Foreign Exchange Market. (2005). Mende, Alexander.
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35. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?. (2005). Vahid, Farshid ; Anderson, Heather.
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36. Détection non paramétrique de sauts dans la volatilité des marchés financiers. (2004). Perron, Benoit.
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37. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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38. The Cross-Section of Volatility and Expected Returns. (2004). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
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39. Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany. (2004). Wagner, Niklas ; Szimayer, Alexander.
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40. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Corradi, Valentina.
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41. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Distaso, Walter ; Corradi, Valentina.
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42. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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43. Power and bipower variation with stochastic volatility and jumps. (2003). Barndorff-Nielsen, Ole E. ; Shephard, Neil.
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44. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil.
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45. .

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