Singh, Aaron; Karali, Berna; Ramirez, Octavio A. - 2011
We analyze time-varying volatility in crude oil, heating oil, and natural gas futuresmarkets by incorporating changes … price and industrial production indices. Inaddition, downward changes in these macro variables are found to have larger … impactthan upward changes do. Finally, volatility spillover from heating oil to natural gasfutures markets is found. …