This paper investigates the dynamics of the interactions between international stock returns
and perceived volatility measured by the VIX index using quantile-on-quantile spillover …

This paper studies the impact of terrorism on implied volatility in the US financial market via
an event study methodology. We decompose the options-based and forward looking VIX …

This study utilizes data from the US options market and constructs a VIX-style measure of
forward-looking volatility about Treasury yields to capture uncertainty about interest rates …

This study comprehensively examines the economic and financial drivers of volatility
changes in terms of a cross-country perspective. We review a wide range of studies related …

Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …

This study examines the volatility forecasting performance of various historical and implied
volatility measures. We compare the informational efficiency of lagged realized volatility …

Purpose Several studies focus on asymmetric impact of shocks on conventional stocks.
However, only few studies explore Islamic stocks, but none has examined the asymmetric …

In this paper we analyze the role of macroeconomic and financial determinants in explaining
stock market volatilities in the US market. Both implied and realized volatility are computed …

This study investigates whether the forward-looking volatility of aggregate volatility (VOV)
risk forecasts future stock returns in the US equity market. We find that stocks with higher …

Our study examines the multi‐period Islamic investment issue in GCC markets. We assess
the validity of ICAPM by incorporating market dynamics: volatility and uncertainty. To test the …