Abstract
ABSTRACTThis article employs the QVAR model to investigate the return spillovers of China’s commodity sectors. Our results show that the total connectedness in extreme markets is significantly higher and increases as the size of the shock increases. Livestock has changed from a risk contributor to a risk recipient due to the low or even negative tail correlation in extreme markets. These findings can help prevent systemic risks for policymakers and re-optimize the portfolios to reduce tail losses for investors in extreme markets.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
