Gkillas, Konstantinos; Bouri, Elie; Gupta, Rangan; Roubaud, David
(Elsevier, 2022-05)
We extend existing studies by considering the higher-order moments relationships among crude oil, gold, and Bitcoin markets. Using high-frequency data from December 2, 2014 to June 10, 2018, we analyze spillovers in jumps ...