Work

Dynamic tail risk contagion in multi-asset markets: A DCC-MGH framework with CoEVaR analysis during systemic crises

Year: 2025

Type: article

Abstract: To investigate the risk spillover effects between crude oil and financial markets (including stocks, bonds, and gold).This study introduces a novel Dynamic Conditional Correlation-Multivariate generalized hyperbolic distribution(DCC-MGH) model combined with the Conditional Entropic Value-at-Risk(CoEVaR) approach to address the limitations of traditional models regarding distributional assumptions and insensitivity to extreme losses. The framework aims to accurately capture dynamic correlations and asymmetric tail risks across multiple markets. The findings show that:(1) crude oil exhibits persistent risk spillover characteristics throughout the entire sample period;(2) gold demonstrates particularly prominent dynamic safe-haven properties during crises;(3) bonds possess stable hedging attributes while stocks serve as risk transmission hubs.These results provide new theoretical foundations for enhancing global financial security and optimizing asset allocation strategies.They also offer policy guidance for cross-market risk management under unconventional shocks.

Source: Finance research letters

DOI: 10.1016/j.frl.2025.109397

Authors: Hairong Zheng, Sikai Wang, Tingting Zhang, Shuying Chen

Institution: Fujian Agriculture and Forestry University

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,730

Funders: Major Program of National Fund of Philosophy and Social Science of China, Fujian Provincial Federation of Social Sciences, National Social Science Fund of China