Scandinavian Working Papers in Economics

Research Papers in Economics,
Stockholm University, Department of Economics

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 ()
Additional contact information
Massimiliano Marzo: Universita di Bologna, Postal: Department of Economics, Strada Maggiore, 45 Bologna, Italy
Paolo Zagaglia: Dept. of Economics, Stockholm University, Postal: Department of Economics, Stockholm University, S-106 91 Stockholm, Sweden

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

JEL-codes: C22; G15

12 pages, January 15, 2009

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