Spillovers in higher moments and jumps across US stock and strategic commodity markets
Elie Bouri (),
Yahua Xu and
Resources Policy, 2021, vol. 72, issue C
This paper examines the dynamics of spillover effects on realized estimators of return distributions across US stock, crude oil and gold markets. Using 5-min data from April 11, 2006 to April 29, 2019, daily realized volatility, realized skewness, realized kurtosis, and jumps are computed. The dynamics of spillovers are revealed using the time-varying parameter vector autoregression (TVP-VAR) model, which reflects the way spillovers are shaped by various crisis periods. The results show that all spillovers seem to intensify during crisis periods. Besides the importance of realized volatility spillovers, spillovers in skewness, kurtosis and jumps are notable, although realized volatility spillovers are relatively stronger. Specifically for realized volatility and kurtosis, the stock index is the main net transmitter, whereas for realized skewness and jumps, oil is the main net transmitter. Gold is a net receiver of all realized higher moments and jumps. The findings suggest the utility of considering spillovers of higher moments and jumps when studying US stock, crude oil, and gold markets, which has implications for portfolio and risk management.
Keywords: High-frequency data; Spillovers of higher moments; Jumps; US stock market; Crude oil; Gold (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000775
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