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Bollerslev, T. and Zhou, H. (2006) Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regression. Journal of Econometrics, 131, 123-150.
https://doi.org/10.1016/j.jeconom.2005.01.006

has been cited by the following article:

• TITLE: Linkage between India Implied Volatility Index and Stock Index Returns

  AUTHORS: Palamalai Srinivasan, R. D. Vasudevan

  KEYWORDS: India Implied Volatility Index, Asymmetric Volatility-Return Relation, Fear and Greed Index

  JOURNAL NAME: Theoretical Economics Letters, Vol.7 No.4, June 16, 2017

  ABSTRACT: The present study examines the linkage between the change in implied volatility index and the underlying stock index return in the Indian stock market. The empirical results revealed that the contemporaneous return is the most important factor that determines the changes in the current India implied volatility. Besides, the empirical evidences confirm the negative asymmetry volatility-return relation, supporting the behavioral explanations (the affect and representativeness heuristics) rather than financial leverage hypothesis.