Tail risk spillover of commodity futures markets

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.