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Extreme return correlation and volatility : a two-threshold approach

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Contagion, decoupling and the spillover effects of the US financial crisis : evidence from the BRIC markets

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On the interplay between US sectoral CDS, stock and VIX indices : fresh insights from wavelet approaches

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The interactions between COVID-19 cases in the USA, the VIX index and major stock markets

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the United States on the CBOE volatility index (VIX index) and (2) the effect of the VIX index on the major stock markets … during the COVID-19 pandemic period in the United States and the country indexes of the USA (DJI), Germany (DAX), France (CAC … that the new COVID-19 cases in the USA had a higher impact on the VIX than cases of deaths during the same period. …

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The dynamic interdependence structure and risk spillover effect between Sino-US stock markets

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Do economic policy uncertainty indices matter in joint volatility cycles between US and Japanese stock markets?

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