Before revision:   The treatment relies on a new Fuk-Nagaev inequality for a class of \tau -dependent processes with heavier than Gaussian tails, which is of independent interest  .
After revision:  The treatment relies on a new Fuk-Nagaev inequality for a class of \tau -dependent processes with heavier than Gaussian tails, which is of independent interest . In an empirical application, we study the Granger causal relationship between the VIX and financial news .