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Dynamic tail risk contagion in multi-asset markets: A DCC-MGH framework with CoEVaR analysis during systemic crises

Author

Listed:
  • Zheng, Hairong
  • Wang, Sikai
  • Zhang, Tingting
  • Chen, Shuying

Abstract

To investigate the risk spillover effects between crude oil and financial markets (including stocks, bonds, and gold).This study introduces a novel Dynamic Conditional Correlation-Multivariate generalized hyperbolic distribution(DCC-MGH) model combined with the Conditional Entropic Value-at-Risk(CoEVaR) approach to address the limitations of traditional models regarding distributional assumptions and insensitivity to extreme losses. The framework aims to accurately capture dynamic correlations and asymmetric tail risks across multiple markets. The findings show that:(1) crude oil exhibits persistent risk spillover characteristics throughout the entire sample period;(2) gold demonstrates particularly prominent dynamic safe-haven properties during crises;(3) bonds possess stable hedging attributes while stocks serve as risk transmission hubs.These results provide new theoretical foundations for enhancing global financial security and optimizing asset allocation strategies.They also offer policy guidance for cross-market risk management under unconventional shocks.

Suggested Citation

  • Zheng, Hairong & Wang, Sikai & Zhang, Tingting & Chen, Shuying, 2026. "Dynamic tail risk contagion in multi-asset markets: A DCC-MGH framework with CoEVaR analysis during systemic crises," Finance Research Letters, Elsevier, vol. 90(C).
    • Handle: RePEc:eee:finlet:v:90:y:2026:i:c:s1544612325026467
    DOI: 10.1016/j.frl.2025.109397
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