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

Author

Listed:
  • Konstantinos Gkillas

    () (Department of Business Administration, University of Patras, Patras, Greece)

  • Elie Bouri

    () (USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • David Roubaud

    () (Montpellier Business School, Montpellier, France)

Abstract

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.

Suggested Citation

  • Konstantinos Gkillas & Elie Bouri & Rangan Gupta & David Roubaud, 2019. "Spillovers in Higher-Order Moments of Bitcoin, Gold, and Oil," Working Papers 201965, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201965
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    More about this item

    Keywords

    crude oil; gold; Bitcoin; realized moments; spillover effect;

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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