2024
DOI: 10.1002/fut.22511
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High–low volatility spillover network between economic policy uncertainty and commodity futures markets

Youtao Xiang,
Sumuya Borjigin

Abstract: Based on the formation and evolution of systemic risk, we study the high‐low volatility spillovers between economic policy uncertainty (EPU) and commodity futures and identify the source of risk accumulation and risk outbreak, as well as the corresponding contagion mechanisms. Upon comparing topological characteristics on each volatility layer, our results demonstrate that high and low volatility spillover networks have different network characteristics and evolution behaviors. At the system level, high volati… Show more

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Cited by 3 publications
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