Associate Professor Xiaohang Ren, a researcher at the Base, has published a collaborative paper titled "Extreme Risk Spillovers Between SC, WTI and Brent Crude Oil Futures—Evidence from Time-Varying Granger Causality Test" in the important academic journal Energy.

Abstract: This research delves into the dynamics of extreme risks within the global crude oil futures market, with a particular focus on the Shanghai Crude Oil futures (SC). By employing Value-at-Risk and Expected Shortfall metrics, the study evaluates extreme risk across SC, West Texas Intermediate (WTI), and Brent markets. Our analysis incorporates a time-varying Granger causality framework to examine the directional influence among these markets, with significant intensifications observed during the COVID-19 pandemic and the Russia-Ukraine conflict. This underscores SC's evolving role from a risk receiver to a risk transmitter within the global oil complex. Additionally, this study observes a stronger causal effect of WTI's extreme risks on Brent compared to the reverse, and a notable increase in the bidirectional causality between WTI and Brent during stressful market conditions. These findings enhance the understanding of risk transmission mechanisms in the oil market and have practical implications for risk management, policy formulation, and investment strategies in the context of escalating global uncertainties.

Keywords: Carbon emissions; Spatial spillover; Natural gas; Mechanism analysise

Link: https://doi.org/10.1016/j.energy.2025.135495

Teacher profile

Xiaohang Ren is a Distinguished Associate Professor at the Business School, Central South University, an Elsevier China Highly Cited Researcher, and a Top 2% Scientist Worldwide. He mainly engages in research on energy finance, financial risk, and financial econometrics. He has published more than 100 papers in authoritative journals at home and abroad,including 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 Reviews, Energy, Journal of Management Sciences in China (English Edition), Systems Engineering — Theory and Practice, and Chinese Journal of Management Science. Among these, more than 30 are ESI Hot Papers/Highly Cited Papers. He serves as Section Editor of Sustainable Communities (Taylor & Francis), Associate Editor of journals such as Humanities & Social Sciences Communications (the only humanities and social sciences journal under Nature), and Guest Editor of several SSCI journals including Climate Change Economics and Economic Change and Restructuring