Volatility Spillovers Across Petroleum Markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F15%3A00438407" target="_blank" >RIV/67985556:_____/15:00438407 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/15:10295373
Result on the web
<a href="http://dx.doi.org/10.5547/01956574.37.1.jbar" target="_blank" >http://dx.doi.org/10.5547/01956574.37.1.jbar</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5547/01956574.37.1.jbar" target="_blank" >10.5547/01956574.37.1.jbar</a>
Alternative languages
Result language
angličtina
Original language name
Volatility Spillovers Across Petroleum Markets
Original language description
By using our newly defined measure, 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 markedlydeclined 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. Ananalysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA14-24129S" target="_blank" >GA14-24129S: Dynamic correlations and financial market risk</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Energy Journal
ISSN
0195-6574
e-ISSN
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Volume of the periodical
36
Issue of the periodical within the volume
3
Country of publishing house
US - UNITED STATES
Number of pages
21
Pages from-to
309-329
UT code for WoS article
000356466100014
EID of the result in the Scopus database
2-s2.0-84937561944