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Extreme risk spillover between chinese and global crude oil futures

Citations

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  1. Su, Tong & Lin, Boqiang, 2024. "Reassessing the information transmission and pricing influence of Shanghai crude oil futures: A time-varying perspective," Energy Economics, Elsevier, vol. 140(C).
  2. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Zhu, You, 2025. "The role of uncertainty in return spillovers among digital, green, and traditional financial assets: New insights from the shock of unprecedented events," International Review of Financial Analysis, Elsevier, vol. 103(C).
  3. Huang, Zihuang & Wang, Shaokun & Li, Kaifeng, 2025. "The impact of informed trading on liquidity in Chinese crude oil futures," Energy Economics, Elsevier, vol. 150(C).
  4. Yin, Libo & Cao, Hong & Guo, Yumei, 2024. "The information content of Shanghai crude oil futures vs WTI benchmark: Evidence from temporal and spatial dimensions," Energy Economics, Elsevier, vol. 132(C).
  5. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
  6. Yan, Wan-Lin & Cheung, Adrian (Wai Kong), 2024. "Connectedness among Chinese climate policy uncertainty, exchange rate, Chinese and international crude oil markets: Insights from time and frequency domain analyses of high order moments," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  7. Banerjee, Ameet Kumar & Dionisio, Andreia & Sensoy, Ahmet & Goodell, John W., 2024. "Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments," Energy Economics, Elsevier, vol. 136(C).
  8. Qiang Ji & Ronald D. Ripple & Dayong Zhang & Yuqian Zhao, 2022. "Cryptocurrency Bubble on the Systemic Risk in Global Energy Companies," The Energy Journal, , vol. 43(1_suppl), pages 1-24, June.
  9. Yan-Hong Yang & Ying-Lin Liu & Ying-Hui Shao, 2023. "Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," Papers 2310.18903, arXiv.org, revised Jun 2024.
  10. Yang, Jie & Feng, Yun & Yang, Hao, 2024. "Commodity connectedness of the petrochemical industrial chain: A novel perspective of “good” and “bad” volatility surprises," Finance Research Letters, Elsevier, vol. 67(PB).
  11. Lu, Xinjie & Ma, Feng & Li, Haibo & Wang, Jianqiong, 2023. "INE oil futures volatility prediction: Exchange rates or international oil futures volatility?," Energy Economics, Elsevier, vol. 126(C).
  12. Dejan Živkov & Jasmina Đurašković & Marina Gajić‐Glamočlija, 2022. "Multiscale downside risk interdependence between the major agricultural commodities," Agribusiness, John Wiley & Sons, Ltd., vol. 38(4), pages 990-1011, October.
  13. Pan, Qunxing & Sun, Yujia, 2023. "Changes in volatility leverage and spillover effects of crude oil futures markets affected by the 2022 Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 58(PB).
  14. Yang, Jie & Feng, Yun & Yang, Hao, 2024. "Scrutinizing multi-scale and multi-quantile interactions in commodity markets: A petrochemical industrial chain perspective," Energy Economics, Elsevier, vol. 140(C).
  15. Wang, Donghua & Fang, Tianhui, 2025. "Study on influencing factors and forecast of global crude oil prices based on the hybrid model," Energy, Elsevier, vol. 328(C).
  16. Yang, Jie & Feng, Yun & Yang, Hao, 2025. "Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  17. Chi Zhang & Dandan Pan & Mingyan Yang & Zhengning Pu, 2022. "A Lead‐Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets," Complexity, John Wiley & Sons, vol. 2022(1).
  18. Chai, Li & Wang, Yuqi & Qi, Xiaohong, 2024. "Cross-category connectedness between Shanghai crude oil futures and Chinese stock markets related to the Belt and Road Initiative," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  19. Huang, Wenyang & Gao, Tianxiao & Hao, Yun & Wang, Xiuqing, 2023. "Transformer-based forecasting for intraday trading in the Shanghai crude oil market: Analyzing open-high-low-close prices," Energy Economics, Elsevier, vol. 127(PA).
  20. Choi, Sun-Yong, 2022. "Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  21. Zhang, Jiaming & Guo, Songlin & Dou, Bin & Xie, Bingyuan, 2023. "Evidence of the internationalization of China's crude oil futures: Asymmetric linkages to global financial risks," Energy Economics, Elsevier, vol. 127(PA).
  22. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2022. "Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change," International Review of Financial Analysis, Elsevier, vol. 83(C).
  23. Li, Jingyu & Liu, Ranran & Yao, Yanzhen & Xie, Qiwei, 2022. "Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19," Resources Policy, Elsevier, vol. 77(C).
  24. Ma, Rufei & Liu, Zhenhua & Zhai, Pengxiang, 2022. "Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence," Energy Economics, Elsevier, vol. 107(C).
  25. Junshu Jiang & Jordan Richards & Raphael Huser & David Bolin, 2024. "The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency," Papers 2408.06661, arXiv.org, revised Jul 2025.
  26. Ding, Hao & Ji, Qiang & Ma, Rufei & Zhai, Pengxiang, 2022. "High-carbon screening out: A DCC-MIDAS-climate policy risk method," Finance Research Letters, Elsevier, vol. 47(PA).
  27. Zhang, Yunhan & Ji, Qiang & Zhang, Dayong & Guo, Kun, 2024. "How does Shanghai crude oil futures affect top global oil companies: The role of multi-uncertainties," Energy Economics, Elsevier, vol. 131(C).
  28. Abuzayed, Bana & Al-Fayoumi, Nedal, 2021. "Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  29. Ren, Xiaohang & He, Yue & Liu, Chuanwang & Tao, Lizhu, 2025. "Extreme risk spillovers between SC, WTI and Brent crude oil futures-Evidence from time-varying Granger causality test," Energy, Elsevier, vol. 320(C).
  30. Naeem, Muhammad Abubakr & Gul, Raazia & Shafiullah, Muhammad & Karim, Sitara & Lucey, Brian M., 2024. "Tail risk spillovers between Shanghai oil and other markets," Energy Economics, Elsevier, vol. 130(C).
  31. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
  32. Cui, Jinxin & Maghyereh, Aktham & Liao, Dijia, 2024. "Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments," International Review of Economics & Finance, Elsevier, vol. 95(C).
  33. Yang, Jie & Feng, Yun & Yang, Hao, 2024. "The spillover and comovement of downside and upside tail risks among crude oil futures markets," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  34. Zheng, Shuxian & Tan, Zhanglu & Xing, Wanli & Zhou, Xuanru & Zhao, Pei & Yin, Xiuqi & Hu, Han, 2022. "A comparative exploration of the chaotic characteristics of Chinese and international copper futures prices," Resources Policy, Elsevier, vol. 78(C).
  35. Xie, Qichang & Fang, Tingwei & Rong, Xueyun & Xu, Xin, 2024. "Nonlinear behavior of tail risk resonance and early warning: Insight from global energy stock markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
  36. Wang, Xiaoyu & Wang, Jiaojiao & Wang, Wenhuan & Zhang, Shuquan, 2023. "International and Chinese energy markets: Dynamic spillover effects," Energy, Elsevier, vol. 282(C).
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