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The contagion effects of volatility indices across the U.S...:

Chen, Chun-Da ; Chiang, Shu-Mei ; Huang, Tze-Chin
The North American Journal of Economics and Finance.  54 (2020)  - p. 101234 , 2020
Link: https://doi.org/10.1016/j.najef.2020.101234