2024
DOI: 10.1371/journal.pone.0299237
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Extreme risk spillovers between US and Chinese agricultural futures markets in crises: A dependence-switching copula-CoVaR model

Xin Hu,
Bo Zhu,
Bokai Zhang
et al.

Abstract: The linkages between the US and China, the world’s two major agricultural powers, have brought great uncertainty to the global food markets. Inspired by these, this paper examines the extreme risk spillovers between US and Chinese agricultural futures markets during significant crises. We use a copula-conditional value at risk (CoVaR) model with Markov-switching regimes to capture the tail dependence in their pair markets. The study covers the period from January 2006 to December 2022 and identifies two distin… Show more

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