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Financial Innovation

Table 4 Realized estimates connectedness table in the long-term horizon (6-Infinity days)

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

 

BTC

ETH

EURO STOXX50

FTSE100

NIKKEI225

SP500

Brent

Gold

FROM

Panel A: realized volatility

         

BTC

12.11

11.6

2.21

2.72

3.55

2.38

0.87

1.32

24.66

ETH

9.35

14.05

1.8

2.43

4.28

2.64

0.98

1.1

22.59

EURO STOXX50

0.68

1

8.04

7.86

4.41

5.41

2.67

1.8

23.83

FTSE100

0.87

1.36

8.16

10.3

5.39

7.36

3.44

2.01

28.59

NIKKEI225

0.99

1.3

7.08

8.34

11.15

6.43

3.92

2.39

30.45

SP500

0.82

1.67

8.36

10.46

6.81

11.61

3.34

2.24

33.69

Brent

1.07

1.24

6.38

6.1

2.65

3.37

12.83

2.08

22.9

Gold

1.41

1.8

3.24

4.58

3.24

2.75

2.22

12.15

19.23

TO

15.19

19.97

37.23

42.5

30.32

30.34

17.44

12.94

205.94

Own

27.29

34.02

45.28

52.8

41.47

41.96

30.27

25.1

TCI

NET

− 9.47

− 2.62

13.4

13.91

− 0.12

− 3.34

− 5.46

− 6.29

25.74

Panel B: TBPV jumps

         

BTC

11.36

11.08

1.43

1.69

2.56

1.58

0.95

0.84

20.13

ETH

9.39

14.45

1.14

1.21

2.9

1.79

0.88

0.7

18.01

EURO STOXX50

0.86

1.1

7.47

6.29

3.87

5.06

2.52

2.15

21.85

FTSE100

0.9

1.24

7.58

7.66

4.36

5.87

2.84

2.02

24.81

NIKKEI225

1.03

1.1

6.35

5.93

8.64

5.63

3.63

2.18

25.86

SP500

0.81

1.58

7.89

7.63

5.2

9.58

2.85

2.16

28.12

Brent

1.01

0.91

4.98

5.23

3.3

3.28

12.24

2.5

21.21

Gold

1.55

1.65

2.67

3.09

2.04

1.96

1.91

10.96

14.87

TO

15.55

18.68

32.04

31.08

24.22

25.17

15.58

12.56

174.87

Own

26.91

33.13

39.5

38.74

32.86

34.75

27.82

23.51

TCI

NET

− 4.58

0.67

10.18

6.26

− 1.64

− 2.96

− 5.63

− 2.31

21.86

Panel C: realized skewness

         

BTC

7.02

2.69

0.08

0.05

0.05

0.1

0.13

0.05

3.14

ETH

2

8.14

0.1

0.08

0.08

0.09

0.02

0.05

2.4

EURO STOXX50

0.08

0.14

6.93

2.17

1.3

1.74

0.01

0.25

5.69

FTSE100

0.08

0.07

0.95

5.61

1.5

2.72

0.01

0.14

5.47

NIKKEI225

0.05

0.09

0.43

1.53

6.05

2.52

0.02

0.39

5.02

SP500

0.09

0.15

0.62

2.35

2.15

4.98

0.01

0.25

5.62

Brent

0.23

0.2

0.35

0.7

0.53

0.47

8.67

0.22

2.7

Gold

0.14

0.07

0.14

0.2

0.42

0.38

0.03

9.36

1.39

TO

2.67

3.41

2.67

7.08

6.03

8.01

0.21

1.35

31.42

Own

9.69

11.55

9.6

12.69

12.08

12.99

8.88

10.71

TCI

NET

− 0.47

1

− 3.02

1.61

1.01

2.4

− 2.49

− 0.04

3.93

Panel D: realized kurtosis

         

BTC

6.7

3.41

0.37

0.27

0.26

0.43

0.39

0.51

5.65

ETH

2.33

6.06

0.53

0.61

0.48

0.15

0.42

0.84

5.36

EURO STOXX50

0.51

0.36

7.14

1.08

1.09

1.1

0.58

1.17

5.88

FTSE100

0.33

0.29

0.38

4.72

0.97

1.61

0.16

0.4

4.14

NIKKEI225

0.29

0.11

0.13

0.19

6.1

1.22

0.29

0.6

2.82

SP500

0.17

0.19

0.2

0.78

1.51

4.81

0.67

0.56

4.07

Brent

0.35

0.29

1.22

0.44

0.76

0.31

9.48

0.72

4.09

Gold

0.48

0.37

0.42

0.47

1.32

1.35

0.36

7.92

4.78

TO

4.46

5

3.25

3.83

6.39

6.18

2.88

4.79

36.78

Own

11.16

11.06

10.4

8.55

12.49

10.99

12.36

12.71

TCI

NET

− 1.19

− 0.36

− 2.62

− 0.31

3.57

2.11

− 1.21

0.02

4.60

  1. See Table 2
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