Higher-order moment nexus between the US Dollar, crude oil, gold, and bitcoin

【Author】 Zhang, Yi; Zhou, Long; Li, Yuxue; Liu, Fang

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】This paper explores the relationships between the US dollar, crude oil, gold, and bitcoin by taking into account the higher-moment linkages. Specifically, we construct robust estimators for the realized volatility, realized skewness, realized kurtosis, and jump, and study the causalities between the estimators through the Granger causality test. A generalized impulse response analysis identified by our quad-variate VAR specification is further implemented to uncover the lead-lag spillover effect across the variables of interest. We utilize high-frequency data for the chosen assets from January 3, 2016, to June 23, 2022, and observe various patterns of cross-market interconnection related to higher-order moments. These findings suggest that systematic risk factors must be considered while jointly modeling market linkages. Practical implications for investors and market regulators are also discussed.

【Keywords】Higher distribution moments; Jumps; Market linkage; Spillovers

【发表时间】2023 SEP

【收录时间】2023-09-30

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析