Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin

Konstantinos Gkillas, Elie Bouri, Rangan Gupta and David Roubaud

The Quarterly Review of Economics and Finance, 2022, vol. 84, issue C, 398-406

Abstract: We extend existing studies by considering the higher-order moments relationships among crude oil, gold, and Bitcoin markets. Using high-frequency data from December 2, 2014 to June 10, 2018, we analyze spillovers in jumps and realized second, third, and fourth moments among crude oil, gold, and Bitcoin markets via Granger causality and generalized impulse response analyses. Results suggest evidence of predictability and emphasize, among others, the need of jointly modeling linkages across those three markets with higher-order moments; otherwise, inaccurate risk assessment and investment inferences may arise. The responses of realized volatility shocks are generally positive. Further analyses indicate evidence of a weaker relationship between gold and crude oil and Bitcoin and crude oil compared to the relationship between Bitcoin and gold. Practical implications are also discussed.

Keywords: crude oil; gold; Bitcoin; realized moments; spillover effect (search for similar items in EconPapers)
JEL-codes: C46 G10 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (7)

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Working Paper: Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:84:y:2022:i:c:p:398-406

DOI: 10.1016/j.qref.2020.08.004

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