Manela, Asaf and Alan Moreira, News Implied Volatility and Disaster Concerns, Journal of Financial Economics, Volume 123, Issue 1, January 2017, Pages 137–162
Bibtex entry:
@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}
}