Higher-order moment nexus between the US dollar, crude oil, gold, and Bitcoin

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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)

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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 logoORCID: https://orcid.org/0000-0001-9687-1406, Li, Yuxue and Liu, Fang;
  • Item type:Article
    ID code:86638
    Dates:
    Date
    Event
    30 September 2023
    Published
    19 August 2023
    Published Online
    17 August 2023
    Accepted
    Subjects:Social Sciences > Finance
    Department:?? 15452 ??
    Depositing user: Pure Administrator
    Date deposited:31 Aug 2023 14:36
    Last modified:23 Apr 2025 00:29
    URI:https://strathprints.strath.ac.uk/id/eprint/86638
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