Spillovers in Higher-Order Moments of Bitcoin, Gold, and Oil
Konstantinos Gkillas (Gillas) (),
Elie Bouri (),
Rangan Gupta () and
David Roubaud ()
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Elie Bouri: USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon
David Roubaud: Montpellier Business School, Montpellier, France
No 201965, Working Papers from University of Pretoria, Department of Economics
In this paper, we extend existing studies by considering the relationships across crude oil, gold, and Bitcoin markets. Using high-frequency data from December 2, 2014 to June 10, 2018, we analyze spillovers in volatility jumps and realized second, third, and fourth moments across crude oil, gold, and Bitcoin markets via Granger causality and generalized impulse response analyses in daily frequency. 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 and volatility jump are generally positive. Furthermore, results indicate evidence of a weaker relationship between gold – crude oil, and Bitcoin – crude oil compared to the case of Bitcoin - gold. Practical implications are 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)
New Economics Papers: this item is included in nep-ene, nep-pay and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201965
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