Abstract
To overcome the limitations of conditional value-at-risk (CoVaR), the upside conditional expected shortfall (CoES) is proposed and used as a measure of the extreme risk spillover effect between the Chinese and international crude oil futures markets. Then, the calculation formula of the upside CoES is given under the semiparametric dynamic Copula model, which does not need to set the specific evolution equation of the Copula parameters. The empirical results show that there is a strong positive correlation between Chinese and international crude oil futures, and the correlation gradually increases when oil prices rise. There is a significant two-way risk spillover effect for both of them, and the average risk spillover intensity between Chinese crude oil futures (INE) and West Texas intermediate crude oil futures (WTI) is the highest. Moreover, INE is not always the recipient of the price fluctuation risk. In particular, INE has played the role of risk spillover most of the time after 2019. This study provides new ideas for the measurement of risk spillovers.
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