Publication detail

Volatility spillovers across petroleum markets

Author(s): doc. PhDr. Jozef Baruník Ph.D.,
prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.,
Mgr. Lukáš Vácha Ph.D.,
Type: Articles in journals with impact factor
Year: 2015
Number: 36
Published in: The Energy Journal, 36(3), 309-329; preprint PDF + + available codes
Publishing place:
JEL codes:
Suggested Citation: Baruník, J., Kočenda, E., Vácha, L., 2015. Volatility spillovers across petroleum markets. Forthcoming in The Energy Journal
Abstract: 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.




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