基地研究员任晓航副教授、执行副主任孙宪明副教授参与合作论文“Tail risk spillover of commodity futures markets”在国际知名期刊Accounting and Finance在线发表。Accounting and Finance是澳洲会计与金融学会（The Accounting and Finance Association of Australia and New Zealand, AFAANZ）旗下学术杂志，创刊于1979年，在ABDC列表中位列A类，是金融、会计领域的国际知名期刊。

摘要：This paper examines the tail risk spillover in commodity futures markets, with a particular focus on the dynamics related to the Chinese markets. To overcome the limitations of conventional network methods in terms of dimensionality, we employ a bootstrap-based probabilistic analysis to extend the Diebold–Yilmaz network model for measuring spillover effects. Our empirical results demonstrate both intra- and inter-group tail risk connectedness among commodity futures, highlighting variations in such connectedness during crisis periods. Additionally, we find the tail risk spillover between commodity spot and futures markets and identify dominant sources of risk transmission through our probabilistic analysis.

关键词：CAViaR, commodity futures, non-parametric bootstrap, spillover

链接：http://doi.org/10.1111/acfi.13321

作者简介

任晓航，中南大学商学院特聘副教授，Elsevier中国高被引学者，全球前2%顶尖科学家，主要从事能源金融、金融风险、金融计量等方面的研究，在Journal of the American Statistical Association、Transportation Research Part A、Energy Economics、Quantitative Finance、Review of Quantitative Finance and Accounting、International Review of Financial Analysis、Technological Forecasting and Social Change、Business Strategy and the Environment、Pacific-Basin Finance Journal、Applied Energy、Resources Policy、Renewable & Sustainable Energy Review、Energy、管理科学学报（英文版）、系统工程理论与实践、中国管理科学等国内外权威期刊上发表论文一百余篇，其中ESI热点文章/高被引论文三十余篇。担任Sustainable Communities(Taylor & Francis)领域主编，Humanities & Social Sciences Communications（Nature旗下唯一面向人文社会科学的子刊）等期刊副主编，Climate Change Economics, Economic Change and Restructuring等SSCI期刊客座主编。

孙宪明，中南财经政法大学金融工程系副教授，数字技术与现代金融学科创新引智基地执行副主任。研究方向为金融工程、金融科技及其相关领域，研究成果发表在Journal of Economic Dynamics and Control,  Journal of Futures Markets，Energy Economics, Journal of Computational and Applied Mathematics等期刊，荣获中南财经政法大学“文澜青年学者”。主持国家自然科学基金2项、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）。