This paper proposes a probit approach to measure and forecast extreme downside risks in Asian Pacific markets given information on extreme negative shocks in the U.S. and Japanese markets. The extreme downside risk of a market is measured as the occurrence of market returns falling below...

This paper studies the interaction between excess spillovers and financialization of cross-sectional commodity markets. Investigating excess spillovers of cross-sectional commodity markets shows the magnitude and the direction of financialization impacts, is more informative than studying the...