Research Papers in Economics, Department of Economics, Stockholm University
The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They?
() 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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