Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin

【Author】 Gkillas, Konstantinos; Bouri, Elie; Gupta, Rangan; Roubaud, David

【Source】QUARTERLY REVIEW OF ECONOMICS AND FINANCE

【影响因子】4.324

【Abstract】We extend existing studies by considering the higher-order moments relationships among crude oil, gold, and Bitcoin markets. Using high-frequency data from December 2, 2014 to June 10, 2018, we analyze spillovers in jumps and realized second, third, and fourth moments among crude oil, gold, and Bitcoin markets via Granger causality and generalized impulse response analyses. Results suggest evidence of predictability and emphasize, among others, the need of jointly modeling linkages across those three markets with higher-order moments; otherwise, inaccurate risk assessment and investment inferences may arise. The responses of realized volatility shocks are generally positive. Further analyses indicate evidence of a weaker relationship between gold and crude oil and Bitcoin and crude oil compared to the relationship between Bitcoin and gold. Practical implications are also discussed. (C) 2020 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

【Keywords】crude oil; gold; Bitcoin; realized moments; spillover effect

【发表时间】2022 MAY

【收录时间】2022-08-28

【文献类型】理论模型

【主题类别】

区块链治理-市场治理-市场分析