This　paper　investigates　the　time-frequency　dependence,　extreme　risk　spillovers,　and　dynamic　linkages　between　oil　and　China＇s　commodity　futures　markets,　using　wavelet　coherence,　quantile　connectedness　approach,　and　the　DECO-FIAPARCH　(1,d,1)　model.　The　results　suggest　that　the　oil　market　exhibits　higher　coherence　with　the　copper,　natural　rubber,　and　fuel　oil　futures　but　low　coherence　with　corn,　soybean,　soybean　meal,　and　white　sugar　futures　on　a　long-term　scale.　The　crude　oil　market　leads　most　of　China＇s　commodity　futures.　The　results　of　the　DECO　model　point　to　the　time-varying　and　low　average　equicorrelations　between　oil　and　China＇s　commodity　futures.　The　total　risk　connectedness　at　the　extreme　lower　quantile　level　(0.01)　is　higher　than　the　conditional　mean　and　conditional　median　level.　WTI　oil,　Brent　oil,　soybean　oil,　and　copper　futures　are　the　main　spillover　net-transmitters　whereas　the　white　sugar,　soybean,　soybean　meal,　cotton,　corn,　aluminum,　natural　rubber,　and　fuel　oil　futures　are　risk　spillover　net-recipients.　The　dynamic　extreme　negative　risk　spillovers　are　highly　volatile　and　vulnerable　to　major　international　events　such　as　the　GFC,　oil　price　plunge,　and　the　COVID-19　pandemic.　Finally,　Brent　oil　offers　better　portfolio　diversification　benefits　than　WTI　oil　and　the　optimal-weighted　portfolio　illustrates　the　highest　risk　and　downside　risk　reduction　effectiveness.　©　2021　Elsevier　Ltd