Economics at your fingertips  

Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments

Jinxin Cui, Aktham Maghyereh, Mark Goh and Huiwen Zou

Energy, 2022, vol. 238, issue PB

Abstract: Existing studies of risk spillovers primarily examine returns and volatility but ignore higher-order moment risks and asymmetrical effects, thereby impeding portfolio optimization and risk management. This study addresses those scholarly deficiencies by investigating the realized higher-order moments (realized skewness and kurtosis) risk spillovers, and asymmetrical spillovers in volatility between WTI and Brent oil and China's commodities spanning 2006–2020. For robustness, we explore the spillovers in signed jump variations, realized hyper-skewness, hyper-kurtosis, and realized jump. Based on the DCC framework and the proposed MVHAR-RS/RK models, we propose a model to quantify the dynamic links in volatility and higher-order moments. Empirical results demonstrate that risk-connectedness varies under different moments. Alongside spillovers in realized volatility, analysis reveals significant spillovers in higher-order moment risks and captures the effects of asymmetries in spillovers of good and bad volatility. WTI and Brent oil act as the net transmitters of risk spillovers in all realized moments considered. The dynamic links in realized kurtosis are relatively more volatile and higher than volatility and skewness links. The dynamic risk spillovers under different realized moments and conditional correlations are time-varying and sensitive to major crises. These findings benefit investors and regulators concerned with cross-commodity risks, portfolio optimization, and policymaking.

Keywords: Higher-order moment; Risk spillovers; Crude oil; China's commodity futures; Dynamic links (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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:

DOI: 10.1016/

Access Statistics for this article

Energy is currently edited by Henrik Lund and Mark J. Kaiser

More articles in Energy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2023-04-23
Handle: RePEc:eee:energy:v:238:y:2022:i:pb:s036054422101999x