This study is epicentral to analyzing the impact of futures volatility on portfolio and risk management, as extant literature indicates the challenges of using economic variables that fall short of forecasting volatility beyond lagged values. Further, higher moments may be better adaptive to signaling distress during market upheavals. This paper sources data from Bloomberg from March 26, 2018–April 28, 2023, to examine the dynamic spillovers of higher moments among Shanghai International Energy Exchange and US energy futures contracts by constructing realized skewness and kurtosis. Using nonlinear techniques of mutual information and time-varying vector autoregression (TVP-VAR), we show that realized skewness and kurtosis offer significant information on spillover transmission between the two futures markets, primarily through the crises of COVID-19 and the Russia and Ukraine war. Further, we identify that the risks embedded in these future contracts have increased significantly. Our results have important implications for policymakers, investors, and risk managers.

中文翻译：

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上海原油与美国能源期货之间现存的联系：来自高阶矩溢出的见解


这项研究对于分析期货波动性对投资组合和风险管理的影响至关重要，因为现有文献表明，使用经济变量无法预测超出滞后值的波动性所面临的挑战。此外，更高的时刻可能更能适应市场动荡期间发出的困境信号。本文来源于彭博社2018年3月26日至2023年4月28日的数据，通过构建已实现偏度和峰度来检验上海国际能源交易所和美国能源期货合约高矩的动态溢出。使用互信息和时变向量自回归 (TVP-VAR) 的非线性技术，我们发现已实现的偏度和峰度提供了有关两个期货市场之间溢出传播的重要信息，主要是通过 COVID-19 以及俄罗斯和乌克兰的危机战争。此外，我们发现这些未来合同中蕴含的风险已显着增加。我们的研究结果对政策制定者、投资者和风险管理者具有重要意义。