Table 1 Descriptive statistics for the RV, RS, RK, and RJ.

From: Crude oil, forex, and stock markets: unveiling the higher-order moment and cross-moment risk spillovers in times of turmoil

 

Mean

Max

Min

Std.Dev.

ADF

PP

RV

Crude.Oil

0.000618

0.520335

0.000001

0.008009

−19.4341***

−65.2877***

Dollar.Index

0.000018

0.000391

0.000000

0.000019

−5.89505***

−72.4301***

S.P.500.E.Mini

0.000097

0.006467

0.000001

0.000266

−11.1431***

−50.6582***

RS

Crude.Oil

−0.023176

14.90565

−11.97359

1.316159

−67.2822***

−67.3117***

Dollar.Index

−0.024976

10.70278

−11.93127

1.571239

−68.2287***

−68.2721***

S.P.500.E.Mini

−0.058450

10.89140

−10.59448

1.160594

−69.6133***

−69.6330***

RK

Crude.Oil

9.547248

239.0628

2.113788

10.76347

−23.5218***

−65.8653***

Dollar.Index

10.02023

172.8816

1.961672

14.15705

−32.4729***

−66.2829***

S.P.500.E.Mini

8.323842

157.0546

2.100546

9.358842

−65.6702***

−65.8960***

RJ

Crude.Oil

0.000064

0.073253

0.000000

0.001109

−20.2991***

−70.9045***

Dollar.Index

0.000002

0.000143

0.000000

0.000005

−8.34235***

−71.2819***

S.P.500.E.Mini

0.000007

0.000986

0.000000

0.000030

−8.72886***

−81.3059***

  1. Max and Min represent the maximum and minimum, respectively. Std.Dev denotes the standard deviation. ADF (augmented Dickey‒Fuller) and PP (Phillips‒Perron) unit root tests were applied to examine the stationarity of the RV, RS, RK, and RJ series. *** indicates significance at the 1% level.
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