The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They?

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.

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Year of publication:	2009-01-15
Authors:	Marzo, Massimiliano ; Zagaglia, Paolo
Institutions:	Nationalekonomiska institutionen, Stockholms Universitet
Subject:	conditional quantiles \| oil prices

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Extent:	application/pdf
Series:	Research Papers in Economics.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Research Papers in Economics Number 2009:1 12 pages
Classification:	C22 - Time-Series Models ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005645466