This paper uses a Multiplicative Error Model (MEM) framework to investigate the asymmetric volatility spillovers among four major global asset markets: stock, bond, gold, and crude oil. It provides evidence that those spillovers are influenced by different events and economic conditions that...

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 spillovers and developed the spillover balance as well as...

This study examines the changes in return comovement around the listing and delisting of stock option contracts. We show that newly option listed stocks experience an increase in comovement with a portfolio of option listed stocks and a decrease in comovement with the portfolio of non-optioned...