Table 2 Average connectedness table.

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

 

Crude.Oil

Dollar.Index

S.P.500.E.Mini

FROM

Crude.Oil

76.29 (95.29)

[95.42] {91.01}

8.38 (1.64)

[2.51] {2.80}

15.33 (3.06)

[2.07] {6.19}

23.71 (4.71)

[4.58] {8.99}

Dollar.Index

23.57 (1.59)

[2.81] {10.60}

55.69 (91.26)

[83.15] {74.52}

20.74 (7.15)

[14.03] {14.87}

44.31 (8.74)

[16.85] {25.48}

S.P.500.E.Mini

21.92 (3.42)

[3.40] {9.72}

17.37 (7.26)

[13.95] {10.29}

60.71 (89.33)

[82.65] {79.99}

39.29 (10.67)

[17.35] {20.01}

TO

45.48 (5.00)

[6.21] {20.33}

25.74 (8.90)

[16.46] {13.09}

36.07 (10.22)

[16.10] {21.06}

TCI

NET

21.78 (0.30)

[1.63] {11.33}

-18.56 (0.16)

[-0.38] {-12.39}

-3.22 (-0.46)

[-1.25] {1.05}

35.77 (8.04)

[12.93] {18.16}

  1. The above numerical results were obtained by applying the TVP-VAR extended joint connectedness approach. The optimal VAR lag order was selected by the Schwarz criterion (SC), and the forecast horizon was set to 20 days. FROM measures the total spillovers received by market i, TO measures the total spillovers transmitted by market i, and TCI denotes the total spillovers within the whole system. For each cell, the first value represents the result of RV spillovers, the value in parentheses represents the result of RS spillovers, the value in brackets represents the result of RK spillovers, and the value in braces represents the result of RJ spillovers.
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