溢出效应
社会联系
偏斜
计量经济学
经济
波动性(金融)
峰度
商品
订单(交换)
货币经济学
金融经济学
数学
宏观经济学
统计
财务
心理学
心理治疗师
作者
Elie Bouri,Xiaojie Lei,Yahua Xu,Hongwei Zhang
出处
期刊:Energy
[Elsevier]
日期:2023-01-01
卷期号:263: 125588-125588
被引量:7
标识
DOI:10.1016/j.energy.2022.125588
摘要
This paper investigates connectedness in option implied moments, such as volatility, skewness, and kurtosis across precious metals (gold, silver) and energy (crude oil and natural gas) markets in both time and frequency domains. Using daily option data from January 4, 2010, to December 31, 2020, we first construct implied moments and then examine their static and dynamic connectedness via time-frequency spillover methods and network analysis. The results show that system-wide connectedness weakens as the moment order becomes higher, and the level of spillovers in all implied moments is much higher at a lower frequency. The spillovers show substantial time variation and pronounced intensity during turbulent periods. Gold is the net transmitter in precious metals and energy markets. However, if excluding the crisis period in 2020, crude oil and gold play dominant roles. Further analysis shows the main drivers of the spillover indices for the higher-order moments. Our findings have important implications for commodity traders and investors, risk managers, and policymakers.
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