Extreme spillovers of VIX fear index to international equity markets

Author:

Cheuathonghua Massaporn,Padungsaksawasdi Chaiyuth,Boonchoo Pattana,Tongurai Jittima

Publisher

Springer Science and Business Media LLC

Reference55 articles.

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3. Ajmi, A.N., Gupta, R., Kanda, P.T.: Causality between economic policy uncertainty across countries: evidence from linear and nonlinear tests. Front. Finance Econ. 11(1), 73–102 (2014)

4. Allen, D., Singh, A.K., Powell, R.J., McAleer, M., Taylor, J., Thomas, L.: The volatility-return relationship: Insights from linear and non-linear quantile regression (Discussion Paper No. 831). Retrieved from https://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/160704/1/DP831.pdf (2012)

5. Anderson, T.G., Benzoni, L.: Stochastic Volatility (WP 2009-04). Chicago, Illinois, USA (2009)

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