0438407 20240103205430.920150120235959.9 000356466100014 84937561944 10.5547/01956574.37.1.jbar 21 s. cav_un_epca*02504280195-6574363 (2015)309-329International Association for Energy Economics Volatility spillovers Asymmetry Petroleum markets cav_un_auth*0242028 Baruník Jozef Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics A 34% Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0312139 Kočenda Evžen Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics 33% Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101217 Vácha Lukáš Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics 33% Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/barunik-0438407.pdf GA14-24129S GA ČR cav_un_auth*0306873 By using our newly defined measure, we detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after 2008 (the financial crisis and advent of tight oil production). After 2008, asymmetries in spillovers markedly declined in terms of total as well as directional spillovers. In terms of asymmetries we also show that overall volatility spillovers due to negative (price) returns materialize to a greater degree than volatility spillovers due to positive returns. An analysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission. 2016 AH 3 4 A hod 4ah 20231122140737.6 http://hdl.handle.net/11104/0242965 1 Department of Econometrics UTIA-B 50202 ECONOMICS S ECONOMICS|ENVIRONMENTALSTUDIES|ENERGY&FUELS 2.466 0.404 9.3 0.00364 1.352 1739 1.834 Q1 1.559 47 Q1 80.363 59.8 Q1 Q1 79.275 2015 Soubory v repozitáři: barunik-0438407.pdf 84937561944 SCOPUS 000356466100014 WOS cav_un_epca*0250428 Energy Journal 0195-6574 1944-9089 Roč. 36 č. 3 2015 309 329 International Association for Energy Economics