Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach
Abstract
This paper proposes a predictive CoVaR measure to analyze asynchronous risk spillovers between the Chinese stock and futures market. We jointly model the intraday CoVaR dynamics using an extended MV-CAViaR model. The results show the presence of asymmetric spillovers under different market states, different trading rules, and different confidence levels. Specifically, there exist significant downside spillovers and insignificant upside...
Paper Details
Title
Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach
Published Date
Dec 1, 2018
Journal
Volume
37
Pages
98 - 113
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