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The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots

Zhou, Wei-Xing; Dai, Yun-Shi; Duong, Kiet Tuan; Dai, … - In: Journal of economic behavior & organization 217 (2024), pp. 91-111

Persistent link: https://www.econbiz.de/10014552743

The tail risk safe haven property of China's energy futures against US market implied volatility

Dai, Xingyu; Dai, Peng-Fei; Wang, Qunwei; Ouyang, Zhi-Yi - In: Journal of management science and engineering 9 (2024) 2, pp. 271-291

This paper analyses the tail risk contagion of US market implied volatility (USIV) on China's energy futures (CEF) markets, exploring how to utilize operations in the CEF to achieve a safe haven. Leveraging CEF characteristics to simultaneously take both long-/short-positions and engage in...

Persistent link: https://www.econbiz.de/10014632205

Uncovering the Sino-US dynamic risk spillovers effects : evidence from agricultural futures markets

Zhu, Han-Yu; Dai, Peng-Fei; Zhou, Wei-Xing - In: The journal of futures markets 44 (2024) 12, pp. 1888-1910

Persistent link: https://www.econbiz.de/10015110748

Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets

Dai, Yun-Shi; Dai, Peng-Fei; Zhou, Wei-Xing - In: Journal of international financial markets, … 88 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014482970