Manela, Asaf and Alan Moreira, News Implied Volatility and Disaster Concerns, Journal of Financial Economics, Volume 123, Issue 1, January 2017, Pages 137–162<br/> <br/> Bibtex entry:<br/> <code class=citecode ><pre>
@ARTICLE{ManelaMoreiraNVIX,
  author = {Asaf Manela and Alan Moreira},
  title = {News implied volatility and disaster concerns},
  year = {2017},
  journal = {Journal of Financial Economics},
	volume = {123},
	number = {1},
	pages = {137--162}
}
</pre></code>