Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

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How Does Oil Market Uncertainty Interact with Other Markets? An Empirical Analysis of Implied Volatility Index (2013, unknown): “Among others, Peng and Ng [21] showed that the dependence between volatility indices in five popular equity markets was more easily influenced by financial shocks and reflected the instantaneous information faster than the stock market indices.”
Regime Switching Vine Copula Models for Global Equity and Volatility Indices (2016, background): “Most closely related to our work is probably Peng and Ng [19] who applied a dynamic mixed copula approach with a focus on tail dependencies to analyze contagion effects between stock index movements and showed that financial shocks have a stronger effect on the relationship between volatility indice”