1. Time-frequency information transmission among financial markets: evidence from implied volatility. (2024). Tiwari, Aviral ; Qureshi, Fiza ; Naeem, Muhammad Abubakr ; Farid, Saqib ; Elheddad, Mohamed.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04266-y.

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2. Dynamic Responses of Major Pacific Rim Emerging Equity Markets to the US Crude Oil Fear Index (OVX). (2022). Adrangi, Bahram ; Chatrath, Arjun.
   In: Bulletin of Applied Economics.
   RePEc:rmk:rmkbae:v:9:y:2022:i:1:p:51-84.

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3. Dynamic Responses of Standard and Poor’s Regional Bank Index to the U.S. Fear Index, VIX. (2021). Kolay, Madhuparna ; Raffiee, Kambiz ; Adrangi, Bahram ; Chatrath, Arjun.
   In: JRFM.
   RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:114-:d:513963.

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4. Fair-weather Friends? Sector-specific volatility connectedness and transmission. (2021). Vedenov, Dmitry ; Power, Gabriel ; Liu, Pan.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:76:y:2021:i:c:p:712-736.

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5. Do volatility indices diminish golds appeal as a safe haven to investors before and during the COVID-19 pandemic?. (2021). Tanin, Tauhidul ; Shahbaz, Muhammad ; Sarker, Ashutosh ; Hammoudeh, Shawkat.
   In: Journal of Economic Behavior & Organization.
   RePEc:eee:jeborg:v:191:y:2021:i:c:p:214-235.

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6. Dynamic Responses of Major Equity Markets to the US Fear Index. (2019). Raffiee, Kambiz ; Macri, Joseph ; Adrangi, Bahram ; Chatrath, Arjun.
   In: JRFM.
   RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:156-:d:270481.

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7. A quantile regression analysis of flights-to-safety with implied volatilities. (2019). Troster, Victor ; Roubaud, David ; Bouri, Elie.
   In: Resources Policy.
   RePEc:eee:jrpoli:v:62:y:2019:i:c:p:482-495.

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8. Implied volatility surface predictability: The case of commodity markets. (2019). Sheenan, Lisa ; Shang, Han Lin ; Kearney, Fearghal.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302328.

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9. Implied volatility surface predictability: the case of commodity markets. (2019). Sheenan, Lisa ; Shang, Han Lin ; Kearney, Fearghal.
   In: Papers.
   RePEc:arx:papers:1909.11009.

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10. Fear connectedness among asset classes. (2018). Sosvilla-Rivero, Simon ; Andrada-Felix, Julian ; Fernandez-Perez, Adrian.
    In: Applied Economics.
    RePEc:taf:applec:v:50:y:2018:i:39:p:4234-4249.

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11. Indian Implied Volatility Index: A Macroeconomic Study. (2018). Chittineni, Jyothi.
    In: Applied Economics and Finance.
    RePEc:rfa:aefjnl:v:5:y:2018:i:5:p:75-82.

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12. The influence of terrorism risk on stock market integration: Evidence from eight OECD countries. (2018). Narayan, Seema ; LE, Thai-Ha ; Sriananthakumar, S ; Le, T.-H., .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:58:y:2018:i:c:p:247-259.

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13. The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares. (2018). Tourani-Rad, Alireza ; Frijns, Bart ; Indriawan, Ivan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:56:y:2018:i:c:p:136-152.

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14. Analyzing volatility transmission using group transfer entropy. (2018). Dimpfl, Thomas ; Peter, Franziska J.
    In: Energy Economics.
    RePEc:eee:eneeco:v:75:y:2018:i:c:p:368-376.

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15. Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies. (2017). Chittineni, Jyothi.
    In: Business and Economic Horizons (BEH).
    RePEc:pdc:jrnbeh:v:13:y:2017:i:5:p:666-675.

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16. Fear connectedness among asset classes. (2017). Sosvilla-Rivero, Simon ; Andrada-Felixa, Julian ; Fernandez-Perez, Adrian.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201703.

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17. Examining the flight-to-safety with the implied volatilities. (2017). Sarwar, Ghulam.
    In: Finance Research Letters.
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18. Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market. (2015). Lopez, Raquel.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:292-303.

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19. Long memory and structural breaks in the returns and volatility of gold: evidence from Turkey. (2014). Kirkulak-Uludag, Berna ; Lkhamazhapov, Zorikto.
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:31:p:3777-3787.

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20. Does FX Volatility Affect the Distributions of Commodity Futures Returns?. (2013). Grieb, Terrance.
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:4:y:2013:i:4:p:1-10.

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1. What triggers stock market jumps?. (2021). Davis, Steven ; bloom, nicholas ; Baker, Scott ; Sammon, Marco.
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   RePEc:cep:cepdps:dp1789.

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2. Price drift before U.S. macroeconomic news: private information about public announcements?. (2016). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio.
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3. Volume, Volatility and Public News Announcements. (2016). Bollerslev, Tim ; Xue, Yuan ; Li, Jia.
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4. The world market risk premium and U.S. macroeconomic announcements. (2015). Du, Ding ; Hu, OU.
   In: Journal of International Money and Finance.
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5. Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices. (2013). Tourani-Rad, Alireza ; Frijns, Bart ; Badshah, Ihsan ; Touranirad, Alireza.
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6. The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market. (2013). Marfatia, Hardik ; Kishor, N.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:24:y:2013:i:c:p:1-24.

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7. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
   In: Discussion Papers of DIW Berlin.
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8. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
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   RePEc:ces:ceswps:_4264.

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9. The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland. (2012). Neuenkirch, Matthias ; Hayo, Bernd ; Buttner, David.
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   RePEc:kap:empiri:v:39:y:2012:i:1:p:19-44.

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10. U.S. Monetary Policy Surprises and International Securitized Real Estate Markets. (2011). Yang, Jian ; Xu, Pisun.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:43:y:2011:i:4:p:459-490.

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11. The Real Exchange Rate, Real Interest Rates, and the Risk Premium. (2011). Engel, Charles.
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12. Information aggregation around macroeconomic announcements: Revisions matter. (2011). Gilbert, Thomas.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:1:p:114-131.

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13. The reaction of stock returns to unexpected increases in the federal funds rate target. (2011). Tsai, Chun-Li.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y::i:2:p:121-138.

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14. Does the Bund dominate price discovery in Euro bond futures? Examining information shares. (2011). Menkhoff, Lukas ; Fricke, Christoph.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1057-1072.

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15. Simultaneous monetary policy announcements and international stock markets response: An intraday analysis. (2011). Hussain, Syed Mujahid.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:3:p:752-764.

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16. Extreme returns: The case of currencies. (2011). Savaser, Tanseli ; Osler, Carol.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:2868-2880.

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17. The effect of macroeconomic news on stock returns: New evidence from newspaper coverage. (2011). Lott, John R. ; Birz, Gene.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:2791-2800.

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18. The impact of macroeconomic news on quote adjustments, noise, and informational volatility. (2011). Veredas, David ; Hautsch, Nikolaus ; Hess, Dieter.
    In: Journal of Banking & Finance.
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19. Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets. (2011). Tamirisa, Natalia ; Nowak, Sylwia ; Jobst, Andreas ; Andritzky, Jochen.
    In: Journal of Banking & Finance.
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20. Intraday jumps and US macroeconomic news announcements. (2011). Evans, Kevin P..
    In: Journal of Banking & Finance.
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21. Size, book-to-market ratio and macroeconomic news. (2011). Cenesizoglu, Tolga.
    In: Journal of Empirical Finance.
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22. A reduced form framework for modeling volatility of speculative prices based on realized variation measures. (2011). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: Journal of Econometrics.
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23. The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility. (2010). Veredas, David ; Hautsch, Nikolaus ; Hess, Dieter.
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24. News announcements and price discovery in foreign exchange spot and futures markets. (2010). Gau, Yin-Feng ; Chen, Yu-Lun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1628-1636.

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25. The electronic trading systems and bid-ask spreads in the foreign exchange market. (2010). Ding, Liang ; Hiltrop, Jonas .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:4:p:323-345.

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26. Dynamic news effects in high frequency Euro exchange rates. (2010). Speight, Alan E. H., ; Evans, Kevin P..
    In: Journal of International Financial Markets, Institutions and Money.
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27. Trading activity, realized volatility and jumps. (2010). PETITJEAN, Mikael ; Laurent, Sébastien ; Giot, Pierre.
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28. Asset Prices, News Shocks and the Current Account. (2010). Straub, Roland ; Fratzscher, Marcel.
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29. The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility. (2009). Laakkonen, Helinä ; Lanne, Markku.
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30. The Determinants of Stock and Bond Return Comovements. (2009). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven.
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31. Financial crisis, exchange rate and stock market integration. (2009). Yoshida, Yushi.
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32. Global private information in international equity markets. (2009). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
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33. The on-the-run liquidity phenomenon. (2009). Pasquariello, Paolo ; Vega, Clara.
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34. The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence. (2009). Yang, Jian ; Wang, Zijun ; Zhou, Yinggang.
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35. Real-time effects of central bank intervention in the euro market. (2009). Fatum, Rasmus ; Pedersen, Jesper.
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36. Empirical evidence on jumps in the term structure of the US Treasury Market. (2009). Smith, L. Vanessa ; McKenzie, Michael ; Dungey, Mardi.
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37. Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news. (2009). Ozatay, Fatih ; Şahinbeyoğlu, Gülbin ; Sahinbeyoglu, Gulbin ; zmen, Erdal .
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38. Asset prices and current account fluctuations in G7 economies. (2009). Straub, Roland ; Fratzscher, Marcel.
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39. Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?. (2009). Kilian, Lutz ; Hicks, Bruce.
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40. Macroeconomic Volatility and Stock Market Volatility, World-Wide. (2008). Yilmaz, Kamil ; Diebold, Francis.
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41. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
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42. Macroeconomic Volatility and Stock Market Volatility, Worldwide. (2008). Yilmaz, Kamil ; Diebold, Francis.
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43. Efficient Prediction of Excess Returns. (2008). Wright, Jonathan ; Faust, Jon.
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44. New Shocks, Exchange Rates and Equity Prices. (2008). Rebucci, Alessandro ; Pisani, Massimiliano ; Matsumoto, Akito ; Cova, Pietro.
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45. Information shares in the US Treasury market. (2008). Neely, Christopher ; Mizrach, Bruce.
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46. Macroeconomic cycles and the stock markets reaction to monetary policy. (2008). Kurov, Alexander ; Basistha, Arabinda.
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47. Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices. (2008). Vega, Clara ; Kilian, Lutz.
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48. The microstructure of the U.S. treasury market. (2007). Neely, Christopher ; Mizrach, Bruce.
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49. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
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50. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures. (2007). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: CREATES Research Papers.
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