resources affect the domestic inflation and stock market. Expectations on future volatility in these prices might lead to … changes in the expected (implied) volatility of the Indian stock market. Unlike prior studies, we use implied volatility … indices to examine the cointegration and nonlinear causality amongst international gold, crude oil, and the Indian stock …

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. They test if there is a difference in the return-volatility relation before and after the price …

by jumps in the price and volatility of crude oil. Data used are daily from 14 February 2011, to 31 July 2019. We detect … sovereign risks of oil-exporters are significantly affected by oil volatility jumps, not by oil price jumps. These findings … suggest that the sovereign risks of oil-exporters are affected by abrupt movements in oil implied volatility, which points to …