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

Konstantinos Gkillas (), Elie Bouri (), Rangan Gupta () and David Roubaud ()
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Konstantinos Gkillas: Department of Business Administration, University of Patras, Patras, Greece
David Roubaud: Montpellier Business School, Montpellier, France

No 202068, Working Papers from University of Pretoria, Department of Economics

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 volatility 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. In fact, the responses of realized volatility shocks and volatility jump are generally positive. Further analyses 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)
Pages: 25 pages
Date: 2020-07
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