Risk spillover from international crude oil markets to China’s financial markets: Evidence from extreme events and U.S. monetary policy

•We investigate the risk spillover between oil and China’s financial markets by considering the higher-order moment.•The extreme events significantly increase the risk spillover from crude oil markets.•The risk spillover to China’s financial market is heterogeneous regarding different extreme events and sub-markets.•U.S. monetary policy moderates the risk spillover effects of the oil market.•An unconventional policy may increase the risk spillover in the early stage of a crisis.