Abstract
This paper examines the dynamics of spillover effects on realized estimators of return distributions across US stock, crude oil and gold markets. Using 5-min data from April 11, 2006 to April 29, 2019, daily realized volatility, realized skewness, realized kurtosis, and jumps are computed. The dynamics of spillovers are revealed using the time-varying parameter vector autoregression (TVP-VAR) model, which reflects the way spillovers are shaped by various crisis periods. The results show that all spillovers seem to intensify during crisis periods. Besides the importance of realized volatility spillovers, spillovers in skewness, kurtosis and jumps are notable, although realized volatility spillovers are relatively stronger. Specifically for realized volatility and kurtosis, the stock index is the main net transmitter, whereas for realized skewness and jumps, oil is the main net transmitter. Gold is a net receiver of all realized higher moments and jumps. The findings suggest the utility of considering spillovers of higher moments and jumps when studying US stock, crude oil, and gold markets, which has implications for portfolio and risk management.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
