This paper examines the dynamics of spillover effects on realized estimators of return distributions across US stock, crude oil and gold markets. Using 5-min data from April 11, 2006 to April 29, 2019, daily realized volatility, realized skewness, realized kurtosis, and jumps are computed. The dynamics of spillovers are revealed using the time-varying parameter vector autoregression (TVP-VAR) model, which reflects the way spillovers are shaped by various crisis periods. The results show that all spillovers seem to intensify during crisis periods. Besides the importance of realized volatility spillovers, spillovers in skewness, kurtosis and jumps are notable, although realized volatility spillovers are relatively stronger. Specifically for realized volatility and kurtosis, the stock index is the main net transmitter, whereas for realized skewness and jumps, oil is the main net transmitter. Gold is a net receiver of all realized higher moments and jumps. The findings suggest the utility of considering spillovers of higher moments and jumps when studying US stock, crude oil, and gold markets, which has implications for portfolio and risk management.

本文研究了溢出效应对美国股票，原油和黄金市场上回报分配的实际估计值的影响。使用2006年4月11日至2019年4月29日的5分钟数据，计算出每日实现的波动性，实现的偏度，实现的峰度和跳跃。使用时变参数向量自回归（TVP-VAR）模型揭示了溢出的动态，该模型反映了各种危机时期塑造溢出的方式。结果表明，在危机时期，所有外溢似乎都在加剧。除了已实现的波动性溢出的重要性外，尽管已实现的波动性溢出相对更强，但在偏度，峰度和跳跃方面的溢出也很明显。专门针对已实现的波动性和峰度，股票指数是主要的净传递者，而对于偏斜和跳跃而言，油是主要的净发送器。黄金是所有已实现的更高的时刻和跳跃的净接收者。研究结果表明，在研究美国股票，原油和黄金市场时，考虑较高的瞬间和跳跃的溢出是有用的，这对投资组合和风险管理有影响。