Higher-order moment nexus between the US dollar, crude oil, gold, and Bitcoin
Tools
Tools
Zhang, Yi and Zhou, Long and Li, Yuxue and Liu, Fang (2023) Higher-order moment nexus between the US dollar, crude oil, gold, and Bitcoin. North American Journal of Economics and Finance, 68. 101998. ISSN 1062-9408 (https://doi.org/10.1016/j.najef.2023.101998)
Preview |
Text.
Filename: Zhang_etal_NAJEF_2023_Higher_order_moment_nexus_between_the_US_dollar.pdf
Final Published Version License: 
Download (1MB)| Preview |
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.
ORCID iDs
Zhang, Yi, Zhou, Long
ORCID: https://orcid.org/0000-0001-9687-1406, Li, Yuxue and Liu, Fang;
-
-
Item type: Article ID code: 86638 Dates: DateEvent30 September 2023Published19 August 2023Published Online17 August 2023AcceptedSubjects: Social Sciences > Finance Department: ?? 15452 ?? Depositing user: Pure Administrator Date deposited: 31 Aug 2023 14:36 Last modified: 24 Mar 2025 01:20 URI: https://strathprints.strath.ac.uk/id/eprint/86638