Associate Professor Xiaohang Ren, a researcher at the base, and Associate Professor Xianming Sun, Executive Deputy Director of the Base, participated in the collaborative paper titled "Tail risk spillover of commodity futures markets", which was published online in the internationally renowned journal Accounting and Finance. Accounting and Finance is the academic journal of The Accounting and Finance Association of Australia and New Zealand (AFAANZ), founded in 1979. It is listed in Category A of the ABDC list and is an internationally renowned journal in the fields of finance and accounting.

Abstact：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.

Keywords：CAViaR, commodity futures, non-parametric bootstrap, spillover

Link：http://doi.org/10.1111/acfi.13321

Author profile

Xianming Sun is an associate professor in the Department of Financial Engineering at Zhongnan University of Economics and Law and the Executive Deputy Director of the Innovation and Talent Base for Digital Technology and Finance. His research focuses on financial engineering, financial technology, and related fields. His research outcomes have been published in journals such as Journal of Economic Dynamics and Control, Journal of Futures Markets, Energy Economics, and Journal of Computational and Applied Mathematics. He has been awarded the title of "Wenlan Young Scholar" by Zhongnan University of Economics and Law. He has presided over two projects funded by the National Natural Science Foundation of China and research projects funded by the Fundamental Research Funds for the Central Universities. His related research was awarded the Outstanding Paper Prize at the 16th China Financial Engineering Annual Conference (2017).

Xiaohang Ren is a specially appointed associate professor at the Business School of Central South University, a highly cited Chinese scholar of Elsevier, and a top 2% scientist in the world. He mainly focuses on research in energy finance, financial risks, and financial measurement. He has published more than 100 papers in authoritative domestic and foreign journals such as Journal of the American Statistical Association, Transportation Research Part A, Energy Economics, Quantitative Finance, Review of Quantitative Finance and Accounting, International Review of Financial Analysis, Technological Forecasting and Social Change, Business Strategy and the Environment, Pacific-Basin Finance Journal, Applied Energy, Resources Policy, Renewable & Sustainable Energy Review, Energy, Journal of Management Sciences in China (English Edition), Systems Engineering - Theory & Practice, and Chinese Journal of Management Science. Among them, more than 30 papers are ESI hot articles or highly cited papers. He serves as the lead editor of Sustainable Communities (Taylor & Francis), associate editor of Humanities & Social Sciences Communications (the only social science and humanities journal affiliated with Nature), and guest editor of SSCI journals such as Climate Change Economics, Economic Change and Restructuring.