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

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.