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Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach
Sun, Xiaolei; Liu, Chang; Wang, Jun; Li, Jianping
发表期刊INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
摘要

Maritime market relies on demand of international commodity trade from producers to consumers. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula-CoVaR approach to address the debate on the extreme risk spillovers from commodity market to maritime market. Our results provide new evidence regarding risk transmission from oil and ex-energy sector to the maritime markets, as well as the interactions between different sub-sectors of maritime market. It is also found that commodity markets exert different spillover effects on global and Chinese domestic maritime markets. In additional, the risk spillovers in oil-freight index pairs after global financial crisis is different from the before. Results enrich the knowledge of risk spillovers between commodity and maritime market, which help stakeholders improve portfolio optimization.

2020
卷号68期号:3页码:101453
DOI10.1016/j.irfa.2020.101453
收录类别SSCI
语种英语
引用统计
文献类型期刊论文
条目标识符http://ir.casisd.cn/handle/190111/9791
专题中国科学院科技战略咨询研究院
推荐引用方式
GB/T 7714
Sun, Xiaolei,Liu, Chang,Wang, Jun,et al. Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS,2020,68(3):101453.
APA Sun, Xiaolei,Liu, Chang,Wang, Jun,&Li, Jianping.(2020).Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach.INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS,68(3),101453.
MLA Sun, Xiaolei,et al."Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach".INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 68.3(2020):101453.
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