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 … impactthan upward changes do. Finally, volatility spillover from heating oil to natural gasfutures markets is found. …. Further, volatility in these markets is found to change in response to several major events such as the Asian financial crisis …