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




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.

Suggested Citation

  • Marzo, Massimiliano & Zagaglia, Paolo, 2009. "The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They?," Research Papers in Economics 2009:1, Stockholm University, Department of Economics.
  • Handle: RePEc:hhs:sunrpe:2009_0001

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    1. Lundberg, Erik, 1972. "Productivity and Structural Change-A Policy Issue in Sweden," Economic Journal, Royal Economic Society, vol. 82(325), pages 465-485, Supplemen.
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    conditional quantiles; oil prices;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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