Tail risk spillover of commodity futures markets

Xiaohang Ren, Shitong Xiao, Wenxin Zhang and Xianming Sun

Accounting and Finance, 2025, vol. 65, issue 1, 109-141

Abstract: This paper examines the tail risk spillover in commodity futures markets, with a particular focus on the dynamics related to the Chinese markets. To overcome the limitations of conventional network methods in terms of dimensionality, we employ a bootstrap‐based probabilistic analysis to extend the Diebold–Yilmaz network model for measuring spillover effects. Our empirical results demonstrate both intra‐ and inter‐group tail risk connectedness among commodity futures, highlighting variations in such connectedness during crisis periods. Additionally, we find the tail risk spillover between commodity spot and futures markets and identify dominant sources of risk transmission through our probabilistic analysis.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/acfi.13321

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:acctfi:v:65:y:2025:i:1:p:109-141

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0810-5391

Access Statistics for this article

Accounting and Finance is currently edited by Robert Faff

More articles in Accounting and Finance from Accounting and Finance Association of Australia and New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().