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Volatility Spillovers Across Petroleum Markets
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SYSNO ASEP 0438407 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Volatility Spillovers Across Petroleum Markets Author(s) Baruník, Jozef (UTIA-B) RID, ORCID
Kočenda, Evžen (UTIA-B) ORCID
Vácha, Lukáš (UTIA-B) RIDNumber of authors 3 Source Title Energy Journal. - : International Association for Energy Economics - ISSN 0195-6574
Roč. 36, č. 3 (2015), s. 309-329Number of pages 21 s. Language eng - English Country US - United States Keywords Volatility spillovers ; Asymmetry ; Petroleum markets Subject RIV AH - Economics R&D Projects GA14-24129S GA ČR - Czech Science Foundation (CSF) UT WOS 000356466100014 EID SCOPUS 84937561944 DOI 10.5547/01956574.37.1.jbar Annotation 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 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2016
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