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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Stockholm University, Department of Economics in its series Research Papers in Economics with number
2009:1.
Length: 12 pages Date of creation: 15 Jan 2009 Date of revision: Handle: RePEc:hhs:sunrpe:2009_0001
Contact details of provider: Postal: Department of Economics, Stockholm, S-106 91 Stockholm, Sweden Phone: +46 8 16 20 00 Fax: +46 8 16 14 25 Email: Web page: http://www.ne.su.se/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Sten Nyberg).