Do government interventions aimed at curbing the spread of COVID-19 affect stock market
volatility? To answer this question, we explore the stringency of policy responses to the …

In this paper, we examine the reaction of US oil and gas producers to the COVID-19
pandemic. We find that firms react to COVID-19 heterogeneously. The pandemic …

This paper examines the dynamic short-and long-run asymmetric interactions and causality
between real economic activity and stock and gold markets volatility shocks using both the …

We study the effects of stock market volatility on risk-taking and financial crises by
constructing a cross-country database spanning up to 211 years and across 60 countries …

The Volatility Index (VIX) is a real-time index that has been used as the first measure to
quantify market expectations for volatility, which affects the financial market as a main actor …

We investigate the relationship between long‐term US stock market risks and the
macroeconomic environment using a two‐component GARCH‐MIDAS model. Our results …

In this article, we review recent developments in macroeconomics and finance on the
relationship between financial risk and the real economy. We focus on three specific …

In recent decades, interconnections between countries have increased substantially
worldwide as the process of integration and globalisation intensifies, with a positive impact …

This paper investigates the relationship between stock market volatility and the business
cycle in four major economies, namely the US, Canada, Japan and the UK. We employ both …

We introduce downward volatility jumps into a general non-affine modeling framework of the
term structure of variance. With variance swaps and S&P 500 returns, we find that downward …