We investigate the impact of the recent COVID-19 pandemic on the time-varying correlation
between stock and bond returns. Using daily data on bond and stock returns for ten countries…

This paper studies the contribution of the newly launched future contracts to the bitcoin price
discovery process. Using well-established methodologies in the literature of the evaluation …

This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset. …

This study investigates the dynamic connectedness across the variance risk premium in
international developed and emerging equity markets based on a Bayesian time-varying …

This paper extends the study of price discovery and volatility transmission between the cash
and futures index prices in Athens Exchange by using a new high-frequency dataset. It also …

This study contributes to the age-old question of whether stock market returns are
predictable by investigating the relationship of variance risk premium and equity returns. The …

This paper investigates the relationship between investors' attention, as measured by Google
search queries, and equity implied volatility during the COVID-19 outbreak. Recent studies …

This paper examines the role of unconventional monetary policy announcements on risk
aversion – as proxied by the variance premium – by using panel data analysis. The objective of …

(ETFs) and tests whether there is a statistically significant difference between the two replication
methods. The empirical analysis sheds light on explaining whether investors who prefer …

This paper studies one of the most popular investment themes over recent years, investing
in the cannabis industry. In particular, it investigates relationships between investor attention, …