Jin, Xiaoye; Xiaowen Lin, Sharon; Tamvakis, Michael - In: Energy Economics 34 (2012) 6, pp. 2125-2134
Using daily data from July 2005 to February 2011 for WTI, Dubai and Brent futures contracts, we employ a VAR-BEKK model to investigate crude oil markets integration on the second moment. We also quantify the size and persistence of these connections through the analysis of Volatility Impulse...