The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets
研究构建动态马尔可夫区制转换-连接函数-极值理论模型，分析美国和中国石油与股票市场在六次极端下行风险事件中的金融传染特征，发现美国市场的传染更短、更强且更易受极端冲击，新冠疫情传染最大。
Abstract Motivated by the complex dynamics between the oil and stock markets, this study develops a dynamic Markov regime switching‐copula‐extreme value theory model to quantitatively investigate financial contagion and its characteristics between these two markets. The proposed model is applied to daily returns on crude oil prices and the stock markets in the United States and China over six major extreme downside risk events. We find that financial contagion is shorter, stronger, and more susceptible to extreme downside shocks in the United States than in China. In addition, the COVID‐19 crisis shows the largest financial contagion compared with previous crises.