Table 3 Average connectedness table for the cross-moment joint system.

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

 

Crude RV

Crude RS

Crude RK

Crude RJ

Dollar RV

Dollar RS

Dollar RK

Dollar RJ

S.P.500 RV

S.P.500 RS

S.P.500 RK

S.P.500 RJ

FROM

Crude.Oil.RV

79.98

1.92

1.92

2.92

2.55

0.96

1.09

1.94

2.43

1.06

1.15

2.07

20.02

Crude.Oil.RS

3.08

71.86

6.41

2.97

2.83

1.98

1.28

2.34

1.10

3.26

2.02

0.86

28.14

Crude.Oil.RK

3.61

5.21

73.21

5.85

2.31

1.31

1.35

1.89

1.07

1.40

1.98

0.80

26.79

Crude.Oil.RJ

8.66

3.40

6.12

63.64

3.59

1.74

1.56

3.38

2.05

1.86

2.12

1.86

36.36

Dollar.Index.RV

5.84

3.92

2.60

2.13

59.04

2.09

5.37

7.75

3.44

2.42

2.71

2.69

40.96

Dollar.Index.RS

2.70

2.57

1.83

1.28

2.64

69.46

6.75

4.08

1.26

3.74

2.35

1.34

30.54

Dollar.Index.RK

2.82

1.79

2.08

1.01

4.47

5.56

64.59

7.19

1.33

1.88

5.72

1.54

35.41

Dollar.Index.RJ

6.13

4.23

2.90

3.39

8.67

3.05

6.42

55.42

2.12

2.17

2.62

2.86

44.58

S.P.500.E.Mini.RV

8.47

2.85

1.98

1.76

3.95

1.65

1.50

3.01

66.31

2.23

2.32

3.98

33.69

S.P.500.E.Mini.RS

2.64

3.87

1.75

1.40

2.70

4.00

1.73

2.46

1.46

70.50

5.56

1.93

29.50

S.P.500.E.Mini.RK

2.90

1.96

2.42

1.46

3.21

1.69

4.59

2.62

2.20

4.16

66.56

6.22

33.44

S.P.500.E.Mini.RJ

4.30

3.83

3.39

2.68

4.06

2.86

2.99

3.63

5.31

2.68

5.99

58.29

41.71

TO

51.17

35.56

33.41

26.84

40.99

26.90

34.65

40.29

23.78

26.87

34.54

26.15

TCI

NET

31.15

7.42

6.62

−9.52

0.02

−3.64

−0.76

−4.29

−9.92

−2.63

1.10

−15.56

33.43

Back to article page