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

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.

  • 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:
    Depositing user: Pure Administrator
    Date deposited:31 Aug 2023 14:36
    Last modified:11 Nov 2024 14:03
    URI:https://strathprints.strath.ac.uk/id/eprint/86638
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