Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach
提出一种新的网络拓扑方法，利用高频数据识别商品期货市场中同期与非同期的低阶和高阶矩特质风险溢出，发现同期信息对网络构建解释力更强，且危机事件会放大特质波动溢出。
Abstract This paper proposes a new network topology approach to identify the contemporaneous and noncontemporaneous idiosyncratic spillovers of lower‐moment and higher‐moment risks in commodity futures markets using high‐frequency data. Our results show that contemporaneous information has more explanatory power in constructing a network than noncontemporaneous information, especially for higher‐moment risk spillover networks. In contemporaneous spillover networks, the role of one commodity future and the structure of the networks vary across different realized estimators. Specifically, gold, silver, and wheat are the main volatility and kurtosis risk transmitters, while corn and silver are the main skewness spillover transmitters. Agricultural futures markets are relatively closed in the volatility and kurtosis risk spillover networks, while in the skewness network, they become closer to precious metal futures. Furthermore, crisis events can enlarge the idiosyncratic volatility spillovers in commodity markets. The total spillover effects of higher‐moment risk are stronger than those of lower‐moment risk.