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Department of Economics, Stockholm University Research Papers in Economics, Department of Economics, Stockholm University

No 2009:1:
The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They?

Massimiliano Marzo () and Paolo Zagaglia ()

Abstract: We study the pattern of contagion in volatility along the term structure of oil forwards. We use measures of codependence of returns from quantile regressions to discriminate between integration of the markets for different maturities in the cases of low and high volatility of the returns. Our results provide evidence of decoupling: for most of the maturities we consider, the probability of contagion falls during periods of high volatility.

Keywords: conditional quantiles; oil prices; (follow links to similar papers)

JEL-Codes: C22; G15; (follow links to similar papers)

12 pages, January 15, 2009

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