Karali, Berna; Ramirez, Octavio A. - In: Energy Economics 46 (2014) C, pp. 413-421
We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets … macroeconomic variables. A bidirectional volatility spillover effect is found between natural gas and crude oil and between the … natural gas and heating oil markets. Crude oil volatility is found to increase following major political, financial, and …