Downside and upside risk spillovers from commercial banks into China’s financial system: a new copula quantile regression-based CoVaR model

Maoxi Tiana College of Economics and Management, Northwest A & F University, Yangling, ChinaView further author information

Yong Jiangb School of Finance, Nanjing Audit University, Nanjing, ChinaView further author information

Binyao Wanga College of Economics and Management, Northwest A & F University, Yangling, ChinaView further author information

Yizhe Dongc University of Edinburgh Business School, Edinburgh, UKView further author information

Yingying Chend Faculty of Social Science, University of Nottingham, Nottingham, UKView further author information

Baofeng Shia College of Economics and Management, Northwest A & F University, Yangling, ChinaCorrespondence[email protected]

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