Asymmetric volatility spillover between crude oil and other asset markets
使用乘法误差模型（MEM）分析原油与股票、债券等主要资产市场之间的非对称波动溢出，发现股票市场是波动溢出的主要来源，而原油市场主要是接收方，且溢出效应受金融危机和新冠疫情等事件影响。
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) to include asymmetric volatility spillovers and developed the spillover balance as well as asymmetric spillover indexes. We have then allowed these indexes to vary over time. Our results reveal that the stock market is the dominant contributor to volatility spillover, while the crude oil is mostly the volatility spillover recipient. The asymmetric spillover effects are predominantly negative in the stock and crude oil markets and positive in the bond market. We further show that the spillover indexes are dynamic and influenced by specific events, such as the global financial crisis and the COVID-19 pandemic, as well as varying economic conditions.