{"id":"https://openalex.org/W7224848839","doi":"https://doi.org/10.9734/jamcs/2026/v41i102210","title":"Extreme Risk Spillover Effects among Financial Submarkets: Evidence from QVAR and TVP-VAR Models","display_name":"Extreme Risk Spillover Effects among Financial Submarkets: Evidence from QVAR and TVP-VAR Models","publication_year":2026,"publication_date":"2026-10-30","ids":{"openalex":"https://openalex.org/W7224848839","doi":"https://doi.org/10.9734/jamcs/2026/v41i102210"},"language":"en","primary_location":{"id":"doi:10.9734/jamcs/2026/v41i102210","doi":"https://doi.org/10.9734/jamcs/2026/v41i102210","is_oa":true,"landing_page_url":"https://doi.org/10.9734/jamcs/2026/v41i102210","pdf_url":null,"source":{"id":"https://openalex.org/S4210226065","display_name":"Journal of Advances in Mathematics and Computer Science","issn_l":"2456-9968","issn":["2456-9968"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320855","host_organization_name":"Sciencedomain International","host_organization_lineage":["https://openalex.org/P4310320855"],"host_organization_lineage_names":["Sciencedomain International"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Advances in Mathematics and Computer Science","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://doi.org/10.9734/jamcs/2026/v41i102210","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5160225916","display_name":"Junxiao Zhao","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I198645480","display_name":"North China University of Water Resources and Electric Power","ror":"https://ror.org/03acrzv41","country_code":"CN","type":"education","lineage":["https://openalex.org/I198645480"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Junxiao Zhao","raw_affiliation_strings":["School of Mathematics and Statistics, North China University of Water Resources and Electric Power, Zhengzhou 450046, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, North China University of Water Resources and Electric Power, Zhengzhou 450046, China","institution_ids":["https://openalex.org/I198645480"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5110681769","display_name":"Haisong Cao","orcid":"https://orcid.org/0000-0002-9754-3946","observed_orcids":["https://orcid.org/0000-0002-9754-3946"]},"institutions":[{"id":"https://openalex.org/I198645480","display_name":"North China University of Water Resources and Electric Power","ror":"https://ror.org/03acrzv41","country_code":"CN","type":"education","lineage":["https://openalex.org/I198645480"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Haisong Cao","raw_affiliation_strings":["School of Mathematics and Statistics, North China University of Water Resources and Electric Power, Zhengzhou 450046, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, North China University of Water Resources and Electric Power, Zhengzhou 450046, China","institution_ids":["https://openalex.org/I198645480"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5160237669","display_name":"Jiaman Wang","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I198645480","display_name":"North China University of Water Resources and Electric Power","ror":"https://ror.org/03acrzv41","country_code":"CN","type":"education","lineage":["https://openalex.org/I198645480"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jiaman Wang","raw_affiliation_strings":["School of Mathematics and Statistics, North China University of Water Resources and Electric Power, Zhengzhou 450046, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, North China University of Water Resources and Electric Power, Zhengzhou 450046, China","institution_ids":["https://openalex.org/I198645480"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5160200249","display_name":"Xuezi Yang","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I198645480","display_name":"North China University of Water Resources and Electric Power","ror":"https://ror.org/03acrzv41","country_code":"CN","type":"education","lineage":["https://openalex.org/I198645480"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xuezi Yang","raw_affiliation_strings":["School of Mathematics and Statistics, North China University of Water Resources and Electric Power, Zhengzhou 450046, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, North China University of Water Resources and Electric Power, Zhengzhou 450046, China","institution_ids":["https://openalex.org/I198645480"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I198645480"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.86907442,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"41","issue":"10","first_page":"66","last_page":"77"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9940999746322632,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9940999746322632,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.004000000189989805,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.00039999998989515007,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/risk-spillovers","display_name":"risk spillovers","score":0.8550000190734863},{"id":"https://openalex.org/keywords/extreme-risk","display_name":"extreme risk","score":0.6589999794960022},{"id":"https://openalex.org/keywords/financial-contagion","display_name":"financial contagion","score":0.7839999794960022},{"id":"https://openalex.org/keywords/financial-stability","display_name":"financial stability","score":0.6159999966621399},{"id":"https://openalex.org/keywords/systemic-risk","display_name":"systemic risk","score":0.5680000185966492},{"id":"https://openalex.org/keywords/banking","display_name":"banking sector","score":0.41499999165534973},{"id":"https://openalex.org/keywords/insurance-industry","display_name":"insurance industry","score":0.8569999933242798},{"id":"https://openalex.org/keywords/bond-market","display_name":"bond market","score":0.9409999847412109},{"id":"https://openalex.org/keywords/stock-market","display_name":"stock market","score":0.9750000238418579},{"id":"https://openalex.org/keywords/time-varying-spillovers","display_name":"time-varying spillovers","score":0.7149999737739563},{"id":"https://openalex.org/keywords/directional-spillovers","display_name":"directional spillovers","score":0.7820000052452087},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.6819999814033508},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9729999899864197},{"id":"https://openalex.org/keywords/time-varying-parameter-vector-autoregression","display_name":"time-varying parameter vector autoregression","score":0.9829999804496765},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.7680000066757202}],"concepts":[{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.6699000000953674},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5902000069618225},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5812000036239624},{"id":"https://openalex.org/C76073288","wikidata":"https://www.wikidata.org/wiki/Q1337875","display_name":"Financial risk","level":2,"score":0.546999990940094},{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.5406000018119812},{"id":"https://openalex.org/C2776734221","wikidata":"https://www.wikidata.org/wiki/Q3936425","display_name":"Tail risk","level":2,"score":0.5260000228881836},{"id":"https://openalex.org/C2780148112","wikidata":"https://www.wikidata.org/wiki/Q1432581","display_name":"Proxy (statistics)","level":2,"score":0.47279998660087585},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4442000091075897},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.44020000100135803},{"id":"https://openalex.org/C43071985","wikidata":"https://www.wikidata.org/wiki/Q2906013","display_name":"Financial risk management","level":3,"score":0.40450000762939453},{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.3889999985694885},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.3684999942779541},{"id":"https://openalex.org/C183115368","wikidata":"https://www.wikidata.org/wiki/Q856577","display_name":"Weighting","level":2,"score":0.35199999809265137},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3443000018596649},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.33550000190734863},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.33469998836517334},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.33079999685287476},{"id":"https://openalex.org/C166052673","wikidata":"https://www.wikidata.org/wiki/Q83021","display_name":"Empirical evidence","level":2,"score":0.3287000060081482},{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.3127000033855438},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.30799999833106995},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.2985999882221222},{"id":"https://openalex.org/C189430467","wikidata":"https://www.wikidata.org/wiki/Q7293293","display_name":"Ranking (information retrieval)","level":2,"score":0.2962000072002411},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.2955000102519989},{"id":"https://openalex.org/C147581598","wikidata":"https://www.wikidata.org/wiki/Q729429","display_name":"Extreme value theory","level":2,"score":0.2948000133037567},{"id":"https://openalex.org/C120936955","wikidata":"https://www.wikidata.org/wiki/Q2155640","display_name":"Empirical research","level":2,"score":0.2939999997615814},{"id":"https://openalex.org/C148845407","wikidata":"https://www.wikidata.org/wiki/Q5141358","display_name":"Coherent risk measure","level":4,"score":0.27649998664855957},{"id":"https://openalex.org/C64341305","wikidata":"https://www.wikidata.org/wiki/Q4919225","display_name":"Bivariate analysis","level":2,"score":0.2761000096797943},{"id":"https://openalex.org/C2164484","wikidata":"https://www.wikidata.org/wiki/Q5170150","display_name":"Core (optical fiber)","level":2,"score":0.2678000032901764},{"id":"https://openalex.org/C69257216","wikidata":"https://www.wikidata.org/wiki/Q7575204","display_name":"Spectral risk measure","level":4,"score":0.2676999866962433},{"id":"https://openalex.org/C167548438","wikidata":"https://www.wikidata.org/wiki/Q5319012","display_name":"Dynamic risk measure","level":4,"score":0.2662999927997589},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.25380000472068787}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.9734/jamcs/2026/v41i102210","doi":"https://doi.org/10.9734/jamcs/2026/v41i102210","is_oa":true,"landing_page_url":"https://doi.org/10.9734/jamcs/2026/v41i102210","pdf_url":null,"source":{"id":"https://openalex.org/S4210226065","display_name":"Journal of Advances in Mathematics and Computer Science","issn_l":"2456-9968","issn":["2456-9968"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320855","host_organization_name":"Sciencedomain International","host_organization_lineage":["https://openalex.org/P4310320855"],"host_organization_lineage_names":["Sciencedomain International"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Advances in Mathematics and Computer Science","raw_type":"journal-article"},{"id":"pmh:oai:journaljamcs.com:article/2210","doi":null,"is_oa":true,"landing_page_url":"https://journaljamcs.com/index.php/JAMCS/article/view/2210","pdf_url":null,"source":{"id":"https://openalex.org/S4210226065","display_name":"Journal of Advances in Mathematics and Computer Science","issn_l":"2456-9968","issn":["2456-9968"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320855","host_organization_name":"Sciencedomain International","host_organization_lineage":["https://openalex.org/P4310320855"],"host_organization_lineage_names":["Sciencedomain International"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2456-9968","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:HAL:hal-05846334v1","doi":null,"is_oa":false,"landing_page_url":"https://hal.science/hal-05846334","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4405252976","host_organization_name":"Centre pour la Communication Scientifique Directe","host_organization_lineage":["https://openalex.org/I4405252976"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Advances in Mathematics and Computer Science\u00a0, 2026, 41 (10), pp.66-77","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.9734/jamcs/2026/v41i102210","doi":"https://doi.org/10.9734/jamcs/2026/v41i102210","is_oa":true,"landing_page_url":"https://doi.org/10.9734/jamcs/2026/v41i102210","pdf_url":null,"source":{"id":"https://openalex.org/S4210226065","display_name":"Journal of Advances in Mathematics and Computer Science","issn_l":"2456-9968","issn":["2456-9968"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320855","host_organization_name":"Sciencedomain International","host_organization_lineage":["https://openalex.org/P4310320855"],"host_organization_lineage_names":["Sciencedomain International"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Advances in Mathematics and Computer Science","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W4412944090","https://openalex.org/W2354540572","https://openalex.org/W4389080940","https://openalex.org/W2079205466","https://openalex.org/W4296403160","https://openalex.org/W7115700599","https://openalex.org/W1522536167","https://openalex.org/W2593136423","https://openalex.org/W7125179989","https://openalex.org/W3183561974"],"abstract_inverted_index":{"Aims/Objectives:":[0],"To":[1],"investigate":[2],"risk":[3,19,55,67,80,186,213,218,224,242,270,314,333,368,390,398,416],"contagion":[4,417],"among":[5,419],"financial":[6,15,46,89,254,347,393,420,424],"submarkets,":[7,394],"which":[8],"is":[9,125,142,159,182,197],"a":[10,130,152,179,194,364],"core":[11,88,312],"issue":[12],"for":[13,43,133,413],"maintaining":[14],"stability,":[16],"measure":[17],"extreme":[18,35,72,190,217,276,293,389,415],"spillover":[20,187,205,288,373],"effects":[21,188],"across":[22],"different":[23,404],"market":[24,258,305,319],"regimes,":[25],"and":[26,31,60,71,75,83,96,148,164,172,203,241,260,308,320,349,359,366,384,395,400,410],"reveal":[27],"the":[28,105,116,134,156,169,201,209,223,227,251,261,275,286,292,300,317,339,346,353,357,360,381,397],"transmission":[29,401],"paths":[30,402,418],"time-varying":[32,61,210,337,385],"characteristics":[33,211],"of":[34,79,85,175,212,226,356,375,388,403],"risks,":[36],"so":[37],"as":[38,115,250,325,363],"to":[39,111,128,138,161,167,184,199],"provide":[40],"empirical":[41,51,408],"evidence":[42,409],"preventing":[44,422],"systemic":[45,423],"risks.":[47,425],"Study":[48],"Des:":[49],"An":[50],"study":[52],"that":[53,222,269,332],"combines":[54],"measurement":[56,219],"models":[57],"with":[58,285,370],"quantile":[59,382],"parameter":[62],"vectorautoregression":[63],"models.":[64],"It":[65],"compares":[66],"spillovers":[68,334],"between":[69],"normal":[70,283,304],"downside":[73,191,277,294],"environments":[74],"characterizes":[76],"thedynamic":[77],"evolution":[78,386],"spillovers.":[81],"Place":[82],"Duration":[84],"Study:":[86],"Four":[87],"submarkets":[90],"in":[91,282,352],"China":[92],"(banking,":[93],"insurance,":[94],"bonds":[95],"stock)":[97],"are":[98,311],"selected,with":[99],"daily":[100],"closing":[101],"price":[102],"data":[103],"covering":[104],"period":[106],"from":[107],"January":[108],"4,":[109],"2007":[110,137],"June":[112],"30,":[113],"2025":[114],"research":[117],"sample.":[118],"Methodology:":[119],"A":[120],"time-phased":[121],"dynamic":[122],"weighting":[123],"method":[124],"first":[126],"applied":[127],"construct":[129],"proxy":[131],"index":[132],"insurance":[135,309],"industryfrom":[136],"2012,":[139],"whose":[140],"validity":[141],"verified":[143],"through":[144],"anchor-point":[145],"backward":[146],"recursion":[147],"rationality":[149],"checks.":[150],"Then":[151],"TGARCHmodel":[153],"based":[154],"on":[155],"skew-t":[157],"distribution":[158],"employed":[160],"estimate":[162],"VaR":[163],"ES":[165],"measures":[166,243],"capture":[168],"leptokurtic,":[170],"heavy-tailed,":[171],"asymmetric":[173],"features":[174],"return":[176],"series.":[177],"Furthermore,":[178],"QVAR":[180,266],"model":[181,196,267,330],"constructed":[183],"analyze":[185],"under":[189,274,291,303],"conditions.":[192],"Finally,":[193],"TVP-VAR":[195,329],"adopted":[198],"calculate":[200],"dynamic.total":[202],"directional":[204],"indices,":[206],"thereby":[207],"identifying":[208,414],"transmission.":[214],"Results:":[215],"The":[216,265,328,406],"results":[220],"show":[221],"ranking":[225],"four":[228],"markets":[229],"is:":[230],"CSI":[231,234,239,321],"Insurance":[232],">":[233,238],"Bank":[235],">CSI":[236],"300":[237,322],"All-Bond,":[240],"rose":[244],"significantly":[245],"during":[246,345],"major":[247],"events":[248],"such":[249],"2008":[252],"global":[253],"crisis,the":[255],"2015":[256],"stock":[257],"turbulence":[259],"2020":[262],"COVID-19":[263],"pandemic.":[264],"finds":[268],"co-movement":[271],"andtransmission":[272],"intensity":[273,374],"regime":[278],"far":[279],"exceed":[280],"those":[281],"periods,":[284],"total":[287,340],"effectreaching":[289],"4.58%":[290],"regime,":[295],"more":[296],"than":[297],"10":[298],"times":[299],"0.43%":[301],"observed":[302],"conditions.The":[306],"banking":[307,361],"sectors":[310],"net":[313,326],"transmitters,":[315],"while":[316],"bond":[318],"mainly":[323],"act":[324],"riskreceivers.":[327],"indicates":[331],"exhibit":[335],"significant":[336],"characteristics:":[338],"spilloverindex":[341],"peaked":[342],"at":[343],"40%":[344],"crisis":[348],"reached":[350],"36.67%":[351],"early":[354],"stage":[355],"pandemic,":[358],"sectorserved":[362],"persistent":[365],"dominant":[367],"exporter":[369],"an":[371],"average":[372],"29.2%.":[376],"Conclusion:":[377],"This":[378],"paper":[379],"reveals":[380],"heterogeneity":[383],"patterns":[387],"spilloversamong":[391],"China\u2019s":[392],"clarifies":[396],"roles":[399],"markets.":[405],"findingsprovide":[407],"policy":[411],"implications":[412],"submarketsand":[421]},"counts_by_year":[],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2026-10-31T00:00:00"}