This paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy … energy sector. Adding the SKEW index as a market-implied tail-risk proxy has negligible effects on dependence and spillovers …, revealing that equity-market tail-risk sentiment does not influence commodity markets. Systemic risk remains localized within …

Generalised Extreme Value Distribution (GEVD) and the Generalised Pareto Distribution (GPD) and to assess the associated tail risk … comparison between GEVD and GPD is conducted to estimate tail risk for each index, and it is observed that GPD consistently …

We characterize asymmetric tail risk across over one hundred U.S. macroeconomic and financial variables using a dynamic … that asymmetric tail risk is pervasive and heterogeneous: some sectors exhibit severe asymmetry while others show minimal …-driven tail risk dynamics, revealing how the balance of risks shifts across episodes, and identifies where vulnerabilities …