Barunik, Jozef; Kocenda, Evzen; Vacha, Lukas - arXiv.org - 2014
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility among petroleum commodities that substantially change after...