Full Title: Volatility Spillovers: Evidence On U.S. Oil Product Markets
Author(s): Bernard Ben Sita, Salah Abosedra
Publisher(s): The Journal of Applied Business Research
Publication Date: November 1, 2012
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Description (excerpt):
This paper provides evidence on the lead, the contemporaneous and the lagged transmission mechanism of extreme shocks across energy products. Our findings reveal a weak leadership of crude oil in guiding hedgers against risk that is specific to natural gas whose changes show a weak reliance on changes in crude oil. Moreover, our findings are consistent with the competitive use of energy products. It follows that substitutability characterizes the relationship between heating oil and natural gas when extreme standardized shocks are considered.