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Volatility spillovers across petroleum markets

Listed author(s):
  • Jozef Baruni

    ()

  • Evzen Kocenda

    ()

  • Lukas Vacha

    ()

We detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after 2008 (the financial crisis and advent of tight oil production). After 2008, asymmetries in spillovers markedly declined in terms of total as well as directional spillovers. In terms of asymmetries we also show that overall volatility spillovers due to negative (price) returns materialize to a greater degree than volatility spillovers due to positive returns. An analysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission.

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File URL: http://deepblue.lib.umich.edu/bitstream/2027.42/132994/1/wp1093.pdf
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Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp1093.

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Length: pages
Date of creation: 01 Apr 2015
Handle: RePEc:wdi:papers:2015-1093
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