The extreme risk spillovers between the US and China's agricultural commodity futures markets
© 2019 IOP Publishing Ltd. All rights reserved. In this study, we investigate the downside and upside risk spillover effects between the same kind of agricultural futures in the Chinese and US markets, taking the value-at-risk (VaR) and conditional value-at-risk (CVaR) as a risk measure, characteriz...
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th-cmuir.6653943832-680882020-04-02T15:18:32Z The extreme risk spillovers between the US and China's agricultural commodity futures markets Qiujing Zhu Roengchai Tansuchat Physics and Astronomy © 2019 IOP Publishing Ltd. All rights reserved. In this study, we investigate the downside and upside risk spillover effects between the same kind of agricultural futures in the Chinese and US markets, taking the value-at-risk (VaR) and conditional value-at-risk (CVaR) as a risk measure, characterized and computed using copula-GARCH approach. We find evidence of a significant positive dependence between the US and Chinese agricultural commodity futures markets. And the empirical results also show that the existence of downside and upside risk spillover effects between variables, especially significant during financial turmoil periods. Market regulators and traders of agricultural futures will benefit by identifying tail dependence and extreme risk spillovers. 2020-04-02T15:18:32Z 2020-04-02T15:18:32Z 2019-10-14 Conference Proceeding 17426596 17426588 2-s2.0-85074928270 10.1088/1742-6596/1324/1/012085 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074928270&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/68088 |
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Thailand |
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| topic |
Physics and Astronomy |
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Physics and Astronomy Qiujing Zhu Roengchai Tansuchat The extreme risk spillovers between the US and China's agricultural commodity futures markets |
| description |
© 2019 IOP Publishing Ltd. All rights reserved. In this study, we investigate the downside and upside risk spillover effects between the same kind of agricultural futures in the Chinese and US markets, taking the value-at-risk (VaR) and conditional value-at-risk (CVaR) as a risk measure, characterized and computed using copula-GARCH approach. We find evidence of a significant positive dependence between the US and Chinese agricultural commodity futures markets. And the empirical results also show that the existence of downside and upside risk spillover effects between variables, especially significant during financial turmoil periods. Market regulators and traders of agricultural futures will benefit by identifying tail dependence and extreme risk spillovers. |
| format |
Conference Proceeding |
| author |
Qiujing Zhu Roengchai Tansuchat |
| author_facet |
Qiujing Zhu Roengchai Tansuchat |
| author_sort |
Qiujing Zhu |
| title |
The extreme risk spillovers between the US and China's agricultural commodity futures markets |
| title_short |
The extreme risk spillovers between the US and China's agricultural commodity futures markets |
| title_full |
The extreme risk spillovers between the US and China's agricultural commodity futures markets |
| title_fullStr |
The extreme risk spillovers between the US and China's agricultural commodity futures markets |
| title_full_unstemmed |
The extreme risk spillovers between the US and China's agricultural commodity futures markets |
| title_sort |
extreme risk spillovers between the us and china's agricultural commodity futures markets |
| publishDate |
2020 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074928270&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/68088 |
| _version_ |
1681426755654516736 |