This paper studies the comovement between volatility of the equity market and the oil market, both for implied and realized volatilities. The wavelet methodology enables us to study this relationship on various time scales. We find that there is a strong comovement between the volatilities of...

We study the relation between gasoline prices and Google searches for the term “gasoline prices”. Utilizing the framework of a vector autoregressive model and Granger causality, we find a two-way relationship between gasoline prices and Google searches. In both directions, the relation is...

We study the relationship of the VIX index and the exchange traded note VXX on various time scales. We find that changes of VIX and VXX are correlated only contemporaneously on time scales of days, but VIX leads VXX on time scales of months. Next, we construct a simple joint model for VXX and...