Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - 2023
This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and … spillovers and developed the spillover balance as well as asymmetric spillover indexes. We have then allowed these indexes to … stock and crude oil markets and positive in the bond market. We further show that the spillover indexes are dynamic and …