Xie, Qichang; Qin, Jingrui; Li, Jianwei - In: Energy strategy reviews 49 (2023), pp. 1-15
models and implied volatility indices to examine risk spillover under bad and good volatility changes. The results reveal …-stock volatility is greater than that from decreases in volatility, showing an apparent asymmetric phenomenon. Additionally, asymmetric … risk spillovers are caused by volatility in the oil market. In particular, the ability to predict systemic risk driven by …