Extreme risk spillovers between US and Chinese agricultural futures markets in crises: A dependence-switching copula-CoVaR model

• Xin Hu ,

  Contributed equally to this work with: Xin Hu, Bo Zhu

  Roles Conceptualization, Data curation, Formal analysis, Investigation, Methodology, Software, Visualization, Writing – original draft, Writing – review & editing

  Affiliation School of Finance and Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Chengdu, China

  https://orcid.org/0009-0001-9117-8300

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• Bo Zhu ,

  Contributed equally to this work with: Xin Hu, Bo Zhu

  Roles Conceptualization, Funding acquisition, Investigation, Project administration, Resources, Supervision, Validation, Writing – review & editing

  * E-mail: zhangbokaizbk@163.com

  Affiliation School of Finance and Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Chengdu, China

  https://orcid.org/0000-0001-8155-1979

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• Bokai Zhang,

  Roles Data curation, Methodology, Writing – review & editing

  Affiliation School of Finance and Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Chengdu, China

  https://orcid.org/0000-0003-2969-4408

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• Lidan Zeng

  Roles Writing – review & editing

  Affiliation School of Finance and Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Chengdu, China

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