Crude oil, forex, and stock markets: unveiling the higher-order moment and cross-moment risk spillovers in times of turmoil
Abstract This study employs an analytical framework that integrates realized moment measures with a TVP-VAR-based extended joint connectedness approach to examine higher-order moment and cross-moment risk spillovers among crude oil futures (CL), Dollar Index futures (DX), and S&P 500 E-mini futu...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer Nature
2025-07-01
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| Series: | Humanities & Social Sciences Communications |
| Online Access: | https://doi.org/10.1057/s41599-025-05308-7 |
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