How Does Oil Market Uncertainty Interact with Other Markets? An Empirical Analysis of Implied Volatility Index

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Citations in the corpus

Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices (2017, unknown): “In this sense, implied volatility indices not only reflect historical volatility information, but also investors’ expectation on future market conditions (Liu et al., 2013).”
On the return-volatility relationship in the Bitcoin market around the price crash of 2013 (2017, unknown): “…prices, and accordingly, it doesn’t only reflect historical volatility information, but also investors’ expectation on future market conditions (Liu et al., 2013). ℎ𝑡 = 𝜔 + 𝛼 (𝜀𝑡−1 2 ) + 𝛽(ℎ𝑡−1) + 𝛾 (𝜀𝑡−1 2 ) 𝐼(𝜀𝑡−1 < 1 ) + 𝜑 𝑉𝐼𝑉𝑡−1 2 (5) If the parameter 𝜑 is negatively…”