32 citations · 71 across the 6 of their papers we have counts for
3 papers · 1 filter
The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots
Wei-Xing Zhou, Yun-Shi Dai, Kiet Tuan Duong +1
The ongoing Russia-Ukraine conflict between two major agricultural powers has posed significant threats and challenges to the global food system and world food security. Focusing o…
Correlation structure analysis of the global agricultural futures market
Yun-Shi Dai, Ngoc Quang Anh Huynh, Qing-Huan Zheng +1
This paper adopts the random matrix theory (RMT) to analyze the correlation structure of the global agricultural futures market from 2000 to 2020. It is found that the distribution…
Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
Yun-Shi Dai, Peng-Fei Dai, Wei-Xing Zhou
This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewed Student-t model to investigate the tail dependence structure and extreme risk spillover effects between the…