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François Desmoulins-Lebeault, Luc Meunier & Sima Ohadi. (2020) Does Implied Volatility Pricing Follow the Tenets of Prospect Theory?. Journal of Behavioral Finance 21:2, pages 157-173.
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Roland Füss, Ferdinand Mager, Holger Wohlenberg & Lu Zhao. (2011) The impact of macroeconomic announcements on implied volatility. Applied Financial Economics 21:21, pages 1571-1580.
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Chikashi Tsuji. (2006) Does investors’ sentiment predict stock price changes? With analyses of naive extrapolation and the salience hypothesis in Japan. Applied Financial Economics Letters 2:6, pages 353-359.
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Athanasios P. Fassas & Costas Siriopoulos. (2021) Implied volatility indices – A review. The Quarterly Review of Economics and Finance 79, pages 303-329.
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Bahram Adrangi, Arjun Chatrath, Joseph Macri & Kambiz Raffiee. (2019) Dynamic Responses of Major Equity Markets to the US Fear Index. Journal of Risk and Financial Management 12:4, pages 156.
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Doojin Ryu & Heejin Yang. (2018) The directional information content of options volumes. Journal of Futures Markets 38:12, pages 1533-1548.
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Sebastian A. Bugge, Haakon J. Guttormsen, Peter Molnár & Martin Ringdal. (2016) Implied volatility index for the Norwegian equity market. International Review of Financial Analysis 47, pages 133-141.
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Juan M. Nave & Javier Ruiz. (2015) Risk aversion and monetary policy in a global context. Journal of Financial Stability 20, pages 14-35.
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Abhijeet Chandra & M. Thenmozhi. (2015) On asymmetric relationship of India volatility index (India VIX) with stock market return and risk management. DECISION 42:1, pages 33-55.
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Imlak Shaikh & Puja Padhi. (2014) Inter-temporal relationship between India VIX and Nifty equity index. DECISION 41:4, pages 439-448.
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Jianhua Gang & Xiang Li. (2014) RISK PERCEPTION AND EQUITY RETURNS: EVIDENCE FROM THE SPX AND VIX. Bulletin of Economic Research 66:1, pages 20-44.
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Nelson Areal, Maria Céu Cortez & Florinda Silva. (2013) The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?. Financial Markets and Portfolio Management 27:4, pages 397-429.
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Costas Siriopoulos & Athanasios Fassas. (2012) Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. Review of Derivatives Research 16:3, pages 233-266.
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Silvia Muzzioli. (2013) The Information Content of Option-Based Forecasts of Volatility: Evidence from the Italian Stock Market. Quarterly Journal of Finance 03:01, pages 1350005.
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Ihsan Ullah Badshah. (2012) Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation. Journal of Futures Markets 33:3, pages 235-265.
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Shu-Mei Chiang. (2012) The Relationships between Implied Volatility Indexes and Spot Indexes. Procedia - Social and Behavioral Sciences 57, pages 231-235.
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JIANHUA GANG, NAN YE & CHENGSI ZHANG. (2012) FINANCIAL CRISIS, RISK PERCEPTION AND THE IMPLIED VOLATILITY TRANSMISSION: A CROSS-REGION STUDY*. The Manchester School 80, pages 92-120.
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Hubert Dichtl & Wolfgang Drobetz. (2012) Zur Rendite-Risiko-Beziehung am deutschen Aktienmarkt – Eine empirische Analyse der Beziehung zwischen dem Deutschen Aktienindex DAX und dem Volatilitätsindex VDAX. Kredit und Kapital 45:3, pages 373-406.
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Justin Birru & Stephen Figlewski. (2012) Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008. Journal of Financial Markets 15:2, pages 151-180.
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S.S.S. Kumar. (2012) A first look at the properties of India's volatility index. International Journal of Emerging Markets 7:2, pages 160-176.
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Yue Peng & Wing Lon Ng. (2011) Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. Annals of Finance 8:1, pages 49-74.
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Costas Siriopoulos & Athanasios Fassas. (2012) An investor sentiment barometer — Greek Implied Volatility Index (GRIV). Global Finance Journal 23:2, pages 77-93.
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Maria T. Gonzalez-Perez & Alfonso Novales. (2010) The information content in a volatility index for Spain. SERIEs 2:2, pages 185-216.
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Bart Frijns, Christian Tallau & Alireza Tourani‐Rad. (2009) The information content of implied volatility: Evidence from Australia. Journal of Futures Markets 30:2, pages 134-155.
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María Teresa González & Alfonso Novales. (2009) Are volatility indices in international stock markets forward looking?Índices de volatilidad en mercados internacionales de renta variable: ¿anticipan información futura?. Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas 103:2, pages 339-352.
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Maria T. Gonzalez-Perez & David E. Guerrero. (2020) Is It Expected Volatility or Expected Precision?. SSRN Electronic Journal.
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Dimosthenis Karaflos. (2015) The Implied Volatility of Greek Options and the Political Risk in Eurozone. SSRN Electronic Journal.
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Roland Füss, Ferdinand Mager, Holger Wohlenberg & Lu Zhao. (2011) The Impact of Macroeconomic Announcements on Implied Volatility. SSRN Electronic Journal.
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Michael C. I. Nwogugu. (2012) A Critique of The VIX Index, CDs Indices, Options-Based Indices, and Synthetic ETFs/Funds. SSRN Electronic Journal.
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Justin Birru & Stephen Figlewski. (2010) Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008. SSRN Electronic Journal.
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Maria T. Gonzalez-Perez & Alfonso Novales Cinca. (2007) Why a Volatility Index Can Be Useful in the Spanish Financial Market?. SSRN Electronic Journal.
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Justin Birru & Stephen Figlewski. (2009) Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008. SSRN Electronic Journal.
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Ihsan Ullah Badshah. (2009) Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indexes. SSRN Electronic Journal.
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Costas Siriopoulos & Athanasios Fassas. (2008) The Information Content of VFTSE. SSRN Electronic Journal.
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Costas Siriopoulos & Athanasios Fassas. (2008) An Investor Sentiment Barometer - Greek Implied Volatility Index. SSRN Electronic Journal.
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Alfonso Novales Cinca & Maria T. Gonzalez-Perez. (2008) The Information Content in a Volatility Index for Spain. SSRN Electronic Journal.
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Bart Frijns, Christian Tallau & Alireza Tourani Rad. (2008) The Information Content of Implied Volatility: Evidence from Australia. SSRN Electronic Journal.
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Nelson Areal. (2008) FTSE-100 Implied Volatility Index. SSRN Electronic Journal.
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