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

This study employs an analytical framework that integrates realized moment measures with a TVP-VAR-based extended joint connectedness approach to examine higher-order moment and cross-moment risk spillovers among crude oil futures (CL), Dollar Index futures (DX), and S&P 500 E-mini futures (ES). The findings reveal that the interconnectedness between crude oil, stock, and forex markets is shaped by distributional moments, with realized volatility (RV) spillovers being significantly stronger than those of higher-order moments (RS, RK) and jumps (RJ). Crude oil consistently acts as a net transmitter across all measures, underscoring its dominant role, while the forex and stock markets emerge as the primary net recipients of volatility and kurtosis spillovers, respectively. Spillover dynamics exhibit time-varying behavior and high sensitivity to crises, including the crude oil price collapse, the US‒China trade war, the COVID-19 pandemic, and the ongoing conflicts in Ukraine and the Middle East. Notably, the RV, RJ, and cross-moment joint spillovers react more sharply to health crises, whereas higher-order moments respond more strongly to geopolitical shocks.