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The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They?

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Author Info

  • Marzo, Massimiliano

    ()
    (Universita di Bologna)

  • Zagaglia, Paolo

    ()
    (Dept. of Economics, Stockholm University)

Abstract

We study the pattern of contagion in volatility along the term structure of oil forwards. We use measures of codependence of returns from quantile regressions to discriminate between integration of the markets for different maturities in the cases of low and high volatility of the returns. Our results provide evidence of decoupling: for most of the maturities we consider, the probability of contagion falls during periods of high volatility.

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Bibliographic Info

Paper provided by Stockholm University, Department of Economics in its series Research Papers in Economics with number 2009:1.

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Length: 12 pages
Date of creation: 15 Jan 2009
Date of revision:
Handle: RePEc:hhs:sunrpe:2009_0001

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Postal: Department of Economics, Stockholm, S-106 91 Stockholm, Sweden
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Keywords: conditional quantiles; oil prices;

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