基地执行副主任孙宪明副教授与合作者（ Xiaohang Ren, School of Business, Central South University;  Yiying Li, School of Finance, Renmin University of China; Ruijun Bu, Management School, University of Liverpool; Fredj Jawadi, Univ. Lille ）的论文 "Modeling extreme risk spillovers between crude oil and Chinese energy futures markets" ;在重要学术期刊Energy Economics在线发表。

       Abstract:

This paper aims to model the extreme risk spillovers between crude oil and Chinese energy futures markets to assess the effect of excessive oil price volatility on Chinese energy sectors. To this end, we set up a Generalized Autoregressive Conditional Heteroskedasticity - Extreme Value Theory Value-at-Risk specification (or GARCH-EVT-VaR hereafter) to flexibly model extreme risks. Moreover, we focus on two international crude oil futures markets and ten Chinese energy futures markets to measure the extreme risk spillovers. Our findings point to two main results. First, we find significant evidence of extreme risk spillovers from the two international crude oil markets to Chinese energy futures markets, which are asymmetric. More specifically, the spillover effects across extreme risks are more significant than those measured with the return series. Second, some Chinese energy future markets also exhibit internal extreme risk spillovers from the petrochemical sector to the coal sector. These findings reveal the potential vulnerability of Chinese energy sectors and call for active risk management policies to better hedge Chinese energy futures markets against extreme events.

Keywords: Connectedness; Network analysis; Energy futures markets; Extreme risk spillovers

链接：https://doi.org/10.1016/j.eneco.2023.107007

教师简介

孙宪明，理学双博士，现任数字技术与现代金融学科创新引智基地执行副主任，中南财经政法大学金融工程系副教授，硕士研究生导师。获评湖北省“楚天学子”，中南财经政法大学“文澜青年学者”，主要研究兴趣有金融工程、金融科技及其相关领域。在Journal of Economic Dynamics and Control，Journal of Futures Markets，Journal of Computational and Applied Mathematics，Computational Economics，Statistics and Probability Letters等重要学术期刊发表论文10余篇。目前主持国家自然科学基金、中央高校基本科研业务经费项目等科研项目。相关研究曾获第十六届中国金融工程学年会优秀论文奖（2017）。