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

Zhang, Yi, Zhou, Long, Li, Yuxue and Liu, Feng 2023. Higher-order moment nexus between the US Dollar, crude oil, gold, and bitcoin. North American Journal of Economics and Finance 68 , 101998. 10.1016/j.najef.2023.101998

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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.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Publisher:	Elsevier
ISSN:	1062-9408
Date of First Compliant Deposit:	28 March 2024
Date of Acceptance:	17 August 2023
Last Modified:	28 Mar 2024 16:31
URI:	https://orca.cardiff.ac.uk/id/eprint/167621

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