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学者姓名：邹辉文
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Abstract ：
Existing studies of risk spillovers primarily examine returns and volatility but ignore higher-order moment risks and asymmetrical effects, thereby impeding portfolio optimization and risk manage-ment. This study addresses those scholarly deficiencies by investigating the realized higher-order mo-ments (realized skewness and kurtosis) risk spillovers, and asymmetrical spillovers in volatility between WTI and Brent oil and China's commodities spanning 2006-2020. For robustness, we explore the spillovers in signed jump variations, realized hyper-skewness, hyper-kurtosis, and realized jump. Based on the DCC framework and the proposed MVHAR-RS/RK models, we propose a model to quantify the dynamic links in volatility and higher-order moments. Empirical results demonstrate that risk-connectedness varies under different moments. Alongside spillovers in realized volatility, analysis re-veals significant spillovers in higher-order moment risks and captures the effects of asymmetries in spillovers of good and bad volatility. WTI and Brent oil act as the net transmitters of risk spillovers in all realized moments considered. The dynamic links in realized kurtosis are relatively more volatile and higher than volatility and skewness links. The dynamic risk spillovers under different realized moments and conditional correlations are time-varying and sensitive to major crises. These findings benefit in-vestors and regulators concerned with cross-commodity risks, portfolio optimization, and policymaking. (c) 2021 Elsevier Ltd. All rights reserved.
Keyword ：
China's commodity futures China's commodity futures Crude oil Crude oil Dynamic links Dynamic links Higher-order moment Higher-order moment Risk spillovers Risk spillovers
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| GB/T 7714 | Cui, Jinxin , Maghyereh, Aktham , Goh, Mark et al. Risk spillovers and time-varying links between international oil and China's commodity futures markets: Fresh evidence from the higher-order moments [J]. | ENERGY , 2022 , 238 . |
| MLA | Cui, Jinxin et al. "Risk spillovers and time-varying links between international oil and China's commodity futures markets: Fresh evidence from the higher-order moments" . | ENERGY 238 (2022) . |
| APA | Cui, Jinxin , Maghyereh, Aktham , Goh, Mark , Zou, Huiwen . Risk spillovers and time-varying links between international oil and China's commodity futures markets: Fresh evidence from the higher-order moments . | ENERGY , 2022 , 238 . |
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This paper investigates the time-frequency dependence,return and volatility connected-ness,dynamic linkages,and portfolio diversification gains among oil and China's sectoral commodities,namely,Petrochemicals(CIFI),Grains(CRFI),Energy(ENFI),Non-ferrous metals(NFFI),Oil&Fats(OOFI),and Softs(SOFI),utilizing a proposed research framework that contains the wavelet coher-ence,novel TVP-VAR based connectedness,and the cDCC-,DECO-FIAPARCH(1,d,1)model.The empirical results demonstrate that global oil market exhibits a relatively higher(lower)coherence with ENFI,NFFI,and OOFI(CRFI)on the long-term time horizon and the oil market leads China's sectoral commodities during most sample periods.The crude oil market transmits significant connectedness to China's sectoral commodities,especially the energy commodity sector(ENFI).The dynamic return and volatility total spillovers tend to intensify and exhibit significant fluctuations during the GFC and the oil price collapse.Further,the time-varying linkages among oil and China's sectoral commodities are positive and fluctuant,mainly at a relatively low level.The dynamic return and volatility connected-ness,multi-view linkages,optimal portfolio weights,and hedging ratios display significant time-varying features.The oil-commodity nexus offers diversification benefits and the optimal-weighted portfolio presents the best variance and downside risk reduction performance.Furthermore,risk management effectiveness is market-condition-dependent and heterogeneous across different commodity sectors and sub-samples.This paper can not only help investors and market regulators to capture the complex interconnectedness and risk transmission trajectory among oil and China's sectoral commodities but also benefits for investors and portfolio managers to construct optimal portfolios and hedging strategies.
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| GB/T 7714 | CUI Jinxin , ZOU Huiwen . Coherence,Connectedness,Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications [J]. | 系统科学与复杂性学报（英文版） , 2022 , 35 (3) : 1052-1097 . |
| MLA | CUI Jinxin et al. "Coherence,Connectedness,Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications" . | 系统科学与复杂性学报（英文版） 35 . 3 (2022) : 1052-1097 . |
| APA | CUI Jinxin , ZOU Huiwen . Coherence,Connectedness,Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications . | 系统科学与复杂性学报（英文版） , 2022 , 35 (3) , 1052-1097 . |
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Abstract ：
This paper investigates the time-frequency dependence, return and volatility connectedness, dynamic linkages, and portfolio diversification gains among oil and China's sectoral commodities, namely, Petrochemicals (CIFI), Grains (CRFI), Energy (ENFI), Non-ferrous metals (NFFI), Oil & Fats (OOFI), and Softs (SOFI), utilizing a proposed research framework that contains the wavelet coherence, novel TVP-VAR based connectedness, and the cDCC-, DECO-FIAPARCH (1, d, 1) model. The empirical results demonstrate that global oil market exhibits a relatively higher (lower) coherence with ENFI, NFFI, and OOFI (CRFI) on the long-term time horizon and the oil market leads China's sectoral commodities during most sample periods. The crude oil market transmits significant connectedness to China's sectoral commodities, especially the energy commodity sector (ENFI). The dynamic return and volatility total spillovers tend to intensify and exhibit significant fluctuations during the GFC and the oil price collapse. Further, the time-varying linkages among oil and China's sectoral commodities are positive and fluctuant, mainly at a relatively low level. The dynamic return and volatility connectedness, multi-view linkages, optimal portfolio weights, and hedging ratios display significant time-varying features. The oil-commodity nexus offers diversification benefits and the optimal-weighted portfolio presents the best variance and downside risk reduction performance. Furthermore, risk management effectiveness is market-condition-dependent and heterogeneous across different commodity sectors and sub-samples. This paper can not only help investors and market regulators to capture the complex interconnectedness and risk transmission trajectory among oil and China's sectoral commodities but also benefits for investors and portfolio managers to construct optimal portfolios and hedging strategies.
Keyword ：
China's sectoral commodities China's sectoral commodities crude oil crude oil portfolio diversifications portfolio diversifications return and volatility spillovers return and volatility spillovers TVP-VAR connectedness TVP-VAR connectedness
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| GB/T 7714 | Cui Jinxin , Zou Huiwen . Coherence, Connectedness, Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications [J]. | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY , 2022 , 35 (3) : 1052-1097 . |
| MLA | Cui Jinxin et al. "Coherence, Connectedness, Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications" . | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 35 . 3 (2022) : 1052-1097 . |
| APA | Cui Jinxin , Zou Huiwen . Coherence, Connectedness, Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications . | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY , 2022 , 35 (3) , 1052-1097 . |
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Contagion (spread of harmful idea) and control of bank risk have been an eternal topic in the field of financial research. In this paper, we firstly use the savings mechanism to combine the social network of depositors with the network of balance sheets in the banking system to build multiple networks for the banking industry. Secondly, aiming at the heterogeneity of depositors, construct an improved SIS model based on node attitudes to represent the decision-making process of a bank run during the spread of panic emotions in social networks. Finally, three sets of simulation experiments were designed using a multi-agent model to analyse the interaction between bank risk contagion and depositor panic contagion under initial asset shocks, the sensitivity of two types of risk contagion, and bank risk contagion under initial rumour shocks. Results show that: (i) The contagion of bank risks and the spread of panic emotions of depositors will affect each other, which will further expand the scope of the spread of bank risk and panic emotions; (ii) depositors in social networks are more likely to be affected by the negative emotions around them; (iii) The key to stabilizing the banking system, while sufficient liquidity can effectively help the banking system resist rumour attacks.
Keyword ：
banking risk banking risk complex network complex network multi-agent multi-agent panic contagion panic contagion simulation simulation
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| GB/T 7714 | Gong, Shuwen , Zou, Huiwen . Simulation of interactive contagion between depositors' panic and banking risk [J]. | INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS , 2021 , 28 (1) : 392-404 . |
| MLA | Gong, Shuwen et al. "Simulation of interactive contagion between depositors' panic and banking risk" . | INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS 28 . 1 (2021) : 392-404 . |
| APA | Gong, Shuwen , Zou, Huiwen . Simulation of interactive contagion between depositors' panic and banking risk . | INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS , 2021 , 28 (1) , 392-404 . |
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构建一个包括银行和非银行企业之间多种关系构成的风险传染多层网络模型,该模型将银行面对的贷款资产组合违约传染问题直接投影在企业网络的违约传染中,利用KMV模型在一定程度上分别量化来自银行部门的违约传染与实体经济间的违约传染.通过这个模型进行的计算实验结果表明:企业间的违约传染会显著降低银企系统的稳定型,且发现银企系统在冲击下表现出一种明显的二分效应,在一定的违约数量上银企系统能保持稳定,而一旦超过某个违约数量则会致使整个系统完全崩溃.企业负债比例的减少、银行对外资产比例的减小以及银行自有资产的增加都能提高银企系统对抗风险的稳定性,企业间的风险传染渠道在触发整个银企系统崩溃上作用明显.
Keyword ：
KMV模型 KMV模型 多层网络 多层网络 违约风险 违约风险 银企风险传染 银企风险传染
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| GB/T 7714 | 龚书雯 , 邹辉文 . 基于银企多层网络的风险传染研究 [J]. | 金融与经济 , 2021 , (4) : 4-14 . |
| MLA | 龚书雯 et al. "基于银企多层网络的风险传染研究" . | 金融与经济 4 (2021) : 4-14 . |
| APA | 龚书雯 , 邹辉文 . 基于银企多层网络的风险传染研究 . | 金融与经济 , 2021 , (4) , 4-14 . |
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[目的/意义]为捕捉国际原油与国际股市之间的整体联动关系,判断油价暴跌期间的市场走向,提高投资者的能源意识和国家的能源安全及金融安全管理水平.[设计/方法]借助R-Vine Copula模型对国际原油及国际股市之间的复杂相依结构进行刻画.[结论/发现]研究表明在油价暴跌期间,印度、韩国和俄罗斯等国家最先受到波及.此外,受油价波动影响,不同国家股市之间存在不同程度的风险外溢情况,使得原油波动的影响范围进一步扩大.相较于原油进口国,油价波动对原油出口国的冲击会更强一些.
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| GB/T 7714 | 邹辉文 , 朱丽娟 . 基于R-Vine Copula模型的国际原油与国际股市间的风险传染效应研究 [J]. | 电子科技大学学报（社会科学版） , 2021 , 23 (4) : 106-112 . |
| MLA | 邹辉文 et al. "基于R-Vine Copula模型的国际原油与国际股市间的风险传染效应研究" . | 电子科技大学学报（社会科学版） 23 . 4 (2021) : 106-112 . |
| APA | 邹辉文 , 朱丽娟 . 基于R-Vine Copula模型的国际原油与国际股市间的风险传染效应研究 . | 电子科技大学学报（社会科学版） , 2021 , 23 (4) , 106-112 . |
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文章将复杂网络理论模型与传统的极端风险衡量指标相结合,根据银行指数行情分阶段构建复杂网络,分析银行间的极端风险传染效应。结果表明,随着市场发展演化,网络各节点之间存在着绝对联系,尤其危机时期呈现典型的小世界网络特性,银行间风险传导效应较强;在银行间极端风险传染网络中,可直观地判定潜在风险传导路径,有效识别系统重要性银行和风险传染性银行。为此,应在经济下行期加强周期性和差异化银行监管,以防止因风险大规模扩散而造成系统性风险。
Keyword ：
CoVaR CoVaR 分位数回归 分位数回归 复杂网络 复杂网络 小世界 小世界 银行间极端风险传染 银行间极端风险传染
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| GB/T 7714 | 邹辉文 , 王佳玲 . 基于复杂网络模型的银行间极端风险传染研究 [J]. | 福建金融 , 2021 , (02) : 41-50 . |
| MLA | 邹辉文 et al. "基于复杂网络模型的银行间极端风险传染研究" . | 福建金融 02 (2021) : 41-50 . |
| APA | 邹辉文 , 王佳玲 . 基于复杂网络模型的银行间极端风险传染研究 . | 福建金融 , 2021 , (02) , 41-50 . |
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鉴于目前鲜有研究关注P2P网贷市场收益率预测问题,针对已有金融市场收益率预测研究存在的不足,提出了一种基于两阶段分解技术和粒子群优化极限学习机的EWT-SSA-PSO-ELM预测模型.引入EWT经验小波分解算法对原始的收益率综指序列进行分解,进而提高原始序列的分解效率;采用Lempel-Ziv复杂度算法提升模式分量重构的科学性,避免以往分量重构过程的随意性;利用SSA奇异谱分解算法对高频重构分量进行降噪,从而提升高频重构分量预测效果.基于该预测模型对P2P网贷市场收益率综指进行预测,实证结果表明,所构建的收益率预测模型的性能显著优于其余基准对比模型.
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| GB/T 7714 | 崔金鑫 , 邹辉文 . 基于EWT-SSA-PSO-ELM模型的P2P网贷市场收益率预测 [J]. | 系统工程学报 , 2021 , 36 (3) : 367-381 . |
| MLA | 崔金鑫 et al. "基于EWT-SSA-PSO-ELM模型的P2P网贷市场收益率预测" . | 系统工程学报 36 . 3 (2021) : 367-381 . |
| APA | 崔金鑫 , 邹辉文 . 基于EWT-SSA-PSO-ELM模型的P2P网贷市场收益率预测 . | 系统工程学报 , 2021 , 36 (3) , 367-381 . |
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【目的/意义】为捕捉国际原油与国际股市之间的整体联动关系,判断油价暴跌期间的市场走向,提高投资者的能源意识和国家的能源安全及金融安全管理水平。【设计/方法】借助R-Vine Copula模型对国际原油及国际股市之间的复杂相依结构进行刻画。【结论/发现】研究表明在油价暴跌期间,印度、韩国和俄罗斯等国家最先受到波及。此外,受油价波动影响,不同国家股市之间存在不同程度的风险外溢情况,使得原油波动的影响范围进一步扩大。相较于原油进口国,油价波动对原油出口国的冲击会更强一些。
Keyword ：
R-Vine Copula模型 R-Vine Copula模型 国际原油市场 国际原油市场 国际股市 国际股市 风险传染 风险传染
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| GB/T 7714 | 邹辉文 , 朱丽娟 . 基于R-Vine Copula模型的国际原油与国际股市间的风险传染效应研究 [J]. | 电子科技大学学报(社科版) , 2021 , 23 (04) : 106-112 . |
| MLA | 邹辉文 et al. "基于R-Vine Copula模型的国际原油与国际股市间的风险传染效应研究" . | 电子科技大学学报(社科版) 23 . 04 (2021) : 106-112 . |
| APA | 邹辉文 , 朱丽娟 . 基于R-Vine Copula模型的国际原油与国际股市间的风险传染效应研究 . | 电子科技大学学报(社科版) , 2021 , 23 (04) , 106-112 . |
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This paper investigates the time-frequency dependence, extreme risk spillovers, and dynamic linkages between oil and China's commodity futures markets, using wavelet coherence, quantile connectedness approach, and the DECO-FIAPARCH (1,d,1) model. The results suggest that the oil market exhibits higher coherence with the copper, natural rubber, and fuel oil futures but low coherence with corn, soybean, soybean meal, and white sugar futures on a long-term scale. The crude oil market leads most of China's commodity futures. The results of the DECO model point to the time-varying and low average equi-correlations between oil and China's commodity futures. The total risk connectedness at the extreme lower quantile level (0.01) is higher than the conditional mean and conditional median level. WTI oil, Brent oil, soybean oil, and copper futures are the main spillover net-transmitters whereas the white sugar, soybean, soybean meal, cotton, corn, aluminum, natural rubber, and fuel oil futures are risk spillover net-recipients. The dynamic extreme negative risk spillovers are highly volatile and vulnerable to major international events such as the GFC, oil price plunge, and the COVID-19 pandemic. Finally, Brent oil offers better portfolio diversification benefits than WTI oil and the optimal-weighted portfolio illustrates the highest risk and downside risk reduction effectiveness. (c) 2021 Elsevier Ltd. All rights reserved.
Keyword ：
China?s commodity futures China?s commodity futures DECO-FIAPARCH DECO-FIAPARCH Quantile connectedness Quantile connectedness Wavelet coherence Wavelet coherence
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| GB/T 7714 | Cui, Jinxin , Goh, Mark , Zou, Huiwen . Coherence, extreme risk spillovers, and dynamic linkages between oil and China?s commodity futures markets [J]. | ENERGY , 2021 , 225 . |
| MLA | Cui, Jinxin et al. "Coherence, extreme risk spillovers, and dynamic linkages between oil and China?s commodity futures markets" . | ENERGY 225 (2021) . |
| APA | Cui, Jinxin , Goh, Mark , Zou, Huiwen . Coherence, extreme risk spillovers, and dynamic linkages between oil and China?s commodity futures markets . | ENERGY , 2021 , 225 . |
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