Dependence and Risk Spillover among Hedging Assets: Evidence from Bitcoin, Gold, and USD
Table 9
Results of the KS tests for the difference of short-term and long-term CoVaRs and VaRs.
Downside
Upside
Symbol
1|2
Short
Long
Short
Long
Short
Long
Short
Long
Bitcoin|gold
0.082
0.107
0.046
0.068
0.076
0.105
0.046
0.064
[0.000]
[0.000]
[0.030]
[0.000]
[0.000]
[0.000]
[0.041]
[0.004]
Gold|Bitcoin
0.110
0.162
0.078
0.062
0.119
0.179
0.083
0.067
[0.000]
[0.000]
[0.000]
[0.002]
[0.000]
[0.000]
[0.000]
[0.000]
Gold|USD
0.043
0.006
0.153
0.635
0.040
0.006
0.166
0.651
[0.056]
[0.953]
[0.000]
[0.000]
[0.074]
[0.952]
[0.000]
[0.000]
USD|gold
0.057
0.004
0.160
0.600
0.062
0.004
0.167
0.632
[0.009]
[0.960]
[0.000]
[0.000]
[0.002]
[0.969]
[0.000]
[0.000]
Note: this table lists the statistic and the value (in squared brackets) of the Kolmogorov–Smirnov (KS) tests, which verified the null hypothesis of no systemic risk spillover effect between Bitcoin and gold and between gold and USD.
