Hanif, Waqas; Ko, Hee-Un; Pham, Linh; Kang, Sang Hoon - In: Financial innovation : FIN 9 (2023) 1, pp. 1-40
This study examines the connectedness in high-order moments between cryptocurrency, major stock (U.S., U.K., Eurozone, and Japan), and commodity (gold and oil) markets. Using intraday data from 2020 to 2022 and the time and frequency connectedness models of Diebold and Yilmaz (Int J Forecast...