Time‐Varying Skewness–Kurtosis Dynamics in Bitcoin Markets
利用高频数据研究比特币现货和期货市场中偏度与峰度的关系，发现两者呈凸性关联，交易活动与峰度正相关，且该关系随时间变化，反映市场状态依赖的高阶矩动态。
ABSTRACT This paper examines the relationship between skewness and kurtosis in Bitcoin spot and futures markets using high‐frequency data. We document a strong convex skewness–kurtosis relationship consistent with theoretical moment restrictions. Trading activity is positively associated with realized kurtosis, particularly in futures markets, though sensitive to specification and driven by extreme‐return episodes. Allowing the relationship to evolve over time reveals substantial curvature variation, indicating state‐dependent higher‐moment dynamics. The close co‐movement of results across markets suggests patterns reflect broad market‐wide conditions. The empirical framework is reduced‐form and results should be interpreted as conditional associations rather than causal effects.