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- W2014914677 abstract "Abstract This paper examines the overall risks in Chinese copper, rubber, and soybean futures markets using a copula-VaR (value at risk) and copula-ES (expected shortfall) framework that explicitly accounts for both trading and non-trading information. Our results show that information accumulating during non-trading hours contributes substantially to overall risks, with non-trading VaR weights exceeding 40% in all these markets. In particular, the information during non-trading hours is more important than the information during trading hours in explaining the total risk of all three futures as measured by ESs and volatility weights. Moreover, the risk due to non-trading information increases with the length of non-trading periods, reflecting the fact that information accumulates continuously over time." @default.
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- W2014914677 date "2014-11-01" @default.
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- W2014914677 title "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets" @default.
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- W2014914677 doi "https://doi.org/10.1016/j.pacfin.2014.07.005" @default.
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