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Financial Innovation

Table 3 Realized estimates connectedness table in the short-term horizon (1–5 days)

From: Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

 

BTC

ETH

EURO STOXX50

FTSE100

NIKKEI 225

SP500

Brent

Gold

FROM

Panel A: realized volatility

         

BTC

24.37

19.24

3.77

3.59

3.71

3.67

2.28

2.61

38.87

ETH

19.61

23.61

3.35

3.69

4.08

4.1

2.28

2.64

39.75

EURO STOXX50

1.78

1.57

17.49

14.92

8.96

10.87

7.82

4.72

50.64

FTSE100

1.67

1.49

11.42

15.16

8.68

11.19

6.79

4.71

45.95

NIKKEI225

1.8

1.8

8.73

9.82

16.93

8.58

5.75

4.99

41.47

SP500

1.76

1.84

9.03

11.53

7.8

14.29

4.79

3.67

40.41

Brent

1.89

2.27

8.95

9.51

6.22

6.47

24.05

4.91

40.21

Gold

3

2.45

6.77

7.02

4.96

5.29

4.88

34.25

34.36

TO

31.5

30.65

52.02

60.07

44.41

50.17

34.59

28.25

331.66

Own

55.87

54.26

69.51

75.23

61.35

64.45

58.64

62.5

TCI

NET

− 7.37

− 9.1

1.38

14.12

2.94

9.75

− 5.63

− 6.11

41.46

Panel B: TBPV jumps

         

BTC

26.06

20.5

4.09

3.71

4.16

4.07

2.56

3.36

42.44

ETH

20.7

24.53

4.01

3.75

4.17

4.52

2.2

3.67

43.01

EURO STOXX50

1.87

1.8

16.45

14.8

10.09

12.53

7.4

5.75

54.23

FTSE100

2.04

1.99

13.59

15.01

9.83

11.99

7.42

5.65

52.51

NIKKEI225

2.29

2.26

10.72

10.83

16.85

10.07

6.63

5.85

48.66

SP500

1.96

2.14

11.21

11.88

9.19

15.27

5.77

4.88

47.02

Brent

1.75

1.98

9.2

9.2

7.63

7.02

24.11

5.66

42.44

Gold

3.57

2.86

7.86

6.92

5.71

6.02

4.83

36.4

37.77

TO

34.17

33.54

60.68

61.08

50.77

56.22

36.81

34.81

368.08

Own

60.24

58.07

77.13

76.09

67.62

71.49

60.92

71.22

TCI

NET

− 8.27

− 9.47

6.44

8.57

2.12

9.2

− 5.63

− 2.96

46.01

Panel C: realized skewness

         

BTC

63.24

21.62

0.82

1.1

0.54

1.01

0.77

0.74

26.61

ETH

21.24

62.81

1.03

1.23

0.83

1.19

0.27

0.86

26.64

EURO STOXX50

0.69

0.8

53.46

12.35

7.92

9.99

0.3

1.87

33.92

FTSE100

0.65

0.68

7.03

45.65

12

21.71

0.13

1.07

43.28

NIKKEI225

0.37

0.63

3.33

12.2

49.05

20.65

0.14

2.56

39.88

SP500

0.7

0.96

4.92

20.02

18.47

42.29

0.09

1.96

47.12

Brent

1.42

1.4

2.15

4.68

3.7

3.23

69.92

2.13

18.71

Gold

0.84

0.84

1.41

1.73

3.88

3.5

0.21

76.85

12.41

TO

25.91

26.93

20.7

53.31

47.34

61.28

1.91

11.19

248.55

Own

89.15

89.75

74.16

98.96

96.39

103.56

71.83

88.03

TCI

NET

− 0.7

0.29

− 13.23

10.04

7.46

14.16

− 16.8

− 1.22

31.07

Panel D: realized kurtosis

         

BTC

50.52

22.9

2.55

2.51

3.18

1.49

2.05

2.44

37.13

ETH

23.16

48.42

2.41

3.29

4.01

2.31

2.1

2.88

40.17

EURO STOXX50

3.9

3.9

49.48

6.83

5.74

5.37

4.51

7.25

37.5

FTSE100

2.16

2.79

5.34

43.64

11.05

15.93

3.37

6.86

47.5

NIKKEI225

2.86

2.71

3.49

8.89

42.34

17.67

4.48

8.64

48.74

SP500

1.97

1.98

3.57

11.05

12.24

41.74

5.83

12.74

49.38

Brent

2.75

2.84

4.02

4.03

4.75

4.02

60.96

3.08

25.48

Gold

3.47

3.78

4.52

6.7

9.24

9.73

5.88

44

43.31

TO

40.27

40.9

25.9

43.3

50.21

56.51

28.22

43.89

329.2

Own

90.79

89.31

75.38

86.94

92.55

98.25

89.18

87.88

TCI

NET

3.14

0.73

− 11.6

− 4.2

1.47

7.13

2.74

0.58

41.15

  1. See Table 2
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