Stock Market Interconnection and Tail Risk Spillover Effects

Tail risk estimation results of 10 major global stock markets (Chinese Mainland (CN), Hong Kong (HK), Brazil (BR), India (IN), Russia (RU), Japan (JP), France (FR), Germany (DE), the United Kingdom (UK), the United States (US)) from 1997 to 2022, and DY spillover index method procedure under rolling sample estimation