Document Type
Article
Publication Date
2014
Abstract
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987–2014 period we document increasing spillovers from volatility among petroleum commodities that substantially change after the 2008 financial crisis. The increase in volatility spillovers correlates with the progressive financialization of the commodities. In terms of asymmetries in spillovers we show that periods of increasing crude oil prices strongly correlate with dominating spillovers due to bad volatility. Overall, bad volatility due to negative returns spills over among petroleum commodities to a much larger extent than good volatility due to positive returns. After the 2008 financial crisis the asymmetries in spillovers markedly declined in terms of total as well as directional spillovers. An analysis of directional spillovers further reveals that no commodity dominates other commodities in terms of spillover transmission in general.
Recommended Citation
Barunik, J., Kočenda, E., & Vacha, L. (2014). How does bad and good volatility spill over across petroleum markets? Papers, 1405.2445, https://arxiv.org/pdf/1405.2445.pdf
Comments
This paper was written when Evžen Kočenda was a Fulbright Scholar at the Welch College of Business, Sacred Heart University.
Published in its final version as: Jozef Baruník, Evzen Kocenda and Lukáa Vácha, 2015. "Volatility Spillovers Across Petroleum Markets," The Energy Journal, International Association for Energy Economics, vol. 36(3). http://www.iaee.org/energyjournal/article/2638