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

Yi Zhang, Long Zhou, Yuxue Li and Fang Liu

The North American Journal of Economics and Finance, 2023, vol. 68, issue C

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 (search for similar items in EconPapers)
JEL-codes: G11 G15 G19 G31 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:68:y:2023:i:c:s1062940823001213

DOI: 10.1016/j.najef.2023.101998

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