Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - 2023
This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and … other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility … vary over time. Our results reveal that the stock market is the dominant contributor to volatility spillover, while the …