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

Author

Listed:
  • Zhang, Yi
  • Zhou, Long
  • Li, Yuxue
  • Liu, Fang

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.

Suggested Citation

  • Zhang, Yi & Zhou, Long & Li, Yuxue & Liu, Fang, 2023. "Higher-order moment nexus between the US Dollar, crude oil, gold, and bitcoin," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
    • Handle: RePEc:eee:ecofin:v:68:y:2023:i:c:s1062940823001213
    DOI: 10.1016/j.najef.2023.101998
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    References listed on IDEAS

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    More about this item

    Keywords

    Higher distribution moments; Jumps; Market linkage; Spillovers;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other

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