• Contact Us
  • News
Sign in
BIEE | British Institute of Energy Economics
  • Home
  • Membership
  • Conferences
  • Meetings
  • Downloads
  • Videos
  • About Us

Volatility transmission in crude oil 2011

X. Jin, S. Lin and M. Tamvakis, Cass Business School City University London

Using three main pricing benchmarks (Brent, WTI, and Dubai), research was carried out to examine: if oil markets are integrated; the way in which volatility is transmitted across markets; and what impact shocks have on volatility. A summary of the literature suggests that the world crude oil market is broadly one great pool, with oil markets being unified, at least in pairs. In addition, the literature suggests that volatility is generally transmitted across markets. In considering if the volatilities of the three benchmarks were interdependent, the research found that there is evidence that volatility is transmitted across benchmarks leading to closer market integration. It also found that in respect to the relationship between volatility and shock events, that Brent shows most “responsiveness” to shock events, followed by Dubai, with WTI lagging behind the other two. It is questioned whether this represents a permanent decoupling or whether this is becoming the dominant US crude, rather than an international benchmark. A number of possible areas for further research are set out.

Categories: Energy economics, Meetings, Oil

Tags: Contracts, Export, Fossil fuels, Global, Import, oil market outlook, Oil markets, Pricing, Risk, Supply demand balance, Volatility, Wholesale market

Volatility transmission in crude oil - 2012.pdf 970.77 KB

Comments are closed.

  • Download Categories
    • Academic Papers
      • Electricity and nuclear
      • Energy and environment
      • Energy Consumer – Domestic
      • Energy demand
      • Energy economics
      • Energy efficiency
      • Energy modelling
      • Energy policy
      • Energy security
      • Finance and investment
      • Gas
      • Heat Innovation
      • Oil
      • Renewables
      • Transport
    • Conference Presentations
      • Electricity and nuclear
      • Energy and environment
      • Energy demand
      • Energy economics
      • Energy efficiency
      • Energy modelling
      • Energy policy
      • Energy security
      • Finance and investment
      • Gas
      • Oil
      • Renewables
      • Transport
    • Meetings
      • Electricity and nuclear
      • Energy and environment
      • Energy demand
      • Energy economics
      • Energy efficiency
      • Energy modelling
      • Energy policy
      • Energy security
      • Finance and investment
      • Gas
      • Oil
      • Renewables
      • Transport

Downloads Archive

	            SELECT YEAR(post_date) AS `year`, MONTH(post_date) AS `month`, count(ID) as posts FROM wp_posts WHERE post_type = 'resources' AND post_parent = 0 AND post_status = 'publish' GROUP BY YEAR(post_date), MONTH(post_date) ORDER BY post_date DESC LIMIT 100	        
	            Array
(
    [0] => stdClass Object
        (
            [year] => 2020
            [month] => 11
            [posts] => 3
        )

    [1] => stdClass Object
        (
            [year] => 2020
            [month] => 7
            [posts] => 1
        )

    [2] => stdClass Object
        (
            [year] => 2020
            [month] => 6
            [posts] => 1
        )

    [3] => stdClass Object
        (
            [year] => 2020
            [month] => 5
            [posts] => 2
        )

    [4] => stdClass Object
        (
            [year] => 2020
            [month] => 2
            [posts] => 1
        )

    [5] => stdClass Object
        (
            [year] => 2019
            [month] => 11
            [posts] => 2
        )

    [6] => stdClass Object
        (
            [year] => 2019
            [month] => 10
            [posts] => 4
        )

    [7] => stdClass Object
        (
            [year] => 2019
            [month] => 9
            [posts] => 10
        )

    [8] => stdClass Object
        (
            [year] => 2019
            [month] => 6
            [posts] => 1
        )

    [9] => stdClass Object
        (
            [year] => 2019
            [month] => 5
            [posts] => 1
        )

    [10] => stdClass Object
        (
            [year] => 2019
            [month] => 4
            [posts] => 1
        )

    [11] => stdClass Object
        (
            [year] => 2019
            [month] => 2
            [posts] => 2
        )

    [12] => stdClass Object
        (
            [year] => 2019
            [month] => 1
            [posts] => 1
        )

    [13] => stdClass Object
        (
            [year] => 2018
            [month] => 11
            [posts] => 1
        )

    [14] => stdClass Object
        (
            [year] => 2018
            [month] => 10
            [posts] => 4
        )

    [15] => stdClass Object
        (
            [year] => 2018
            [month] => 9
            [posts] => 53
        )

    [16] => stdClass Object
        (
            [year] => 2018
            [month] => 6
            [posts] => 1
        )

    [17] => stdClass Object
        (
            [year] => 2018
            [month] => 4
            [posts] => 1
        )

    [18] => stdClass Object
        (
            [year] => 2018
            [month] => 2
            [posts] => 1
        )

    [19] => stdClass Object
        (
            [year] => 2017
            [month] => 10
            [posts] => 5
        )

    [20] => stdClass Object
        (
            [year] => 2017
            [month] => 9
            [posts] => 7
        )

    [21] => stdClass Object
        (
            [year] => 2017
            [month] => 6
            [posts] => 1
        )

    [22] => stdClass Object
        (
            [year] => 2017
            [month] => 4
            [posts] => 2
        )

    [23] => stdClass Object
        (
            [year] => 2017
            [month] => 3
            [posts] => 2
        )

    [24] => stdClass Object
        (
            [year] => 2017
            [month] => 2
            [posts] => 1
        )

    [25] => stdClass Object
        (
            [year] => 2016
            [month] => 11
            [posts] => 5
        )

    [26] => stdClass Object
        (
            [year] => 2016
            [month] => 10
            [posts] => 5
        )

    [27] => stdClass Object
        (
            [year] => 2016
            [month] => 9
            [posts] => 51
        )

    [28] => stdClass Object
        (
            [year] => 2016
            [month] => 7
            [posts] => 1
        )

    [29] => stdClass Object
        (
            [year] => 2016
            [month] => 6
            [posts] => 1
        )

    [30] => stdClass Object
        (
            [year] => 2016
            [month] => 5
            [posts] => 1
        )

    [31] => stdClass Object
        (
            [year] => 2016
            [month] => 4
            [posts] => 1
        )

    [32] => stdClass Object
        (
            [year] => 2016
            [month] => 2
            [posts] => 2
        )

    [33] => stdClass Object
        (
            [year] => 2015
            [month] => 11
            [posts] => 3
        )

    [34] => stdClass Object
        (
            [year] => 2015
            [month] => 10
            [posts] => 5
        )

    [35] => stdClass Object
        (
            [year] => 2015
            [month] => 9
            [posts] => 8
        )

    [36] => stdClass Object
        (
            [year] => 2015
            [month] => 6
            [posts] => 3
        )

    [37] => stdClass Object
        (
            [year] => 2015
            [month] => 5
            [posts] => 1
        )

    [38] => stdClass Object
        (
            [year] => 2015
            [month] => 4
            [posts] => 1
        )

    [39] => stdClass Object
        (
            [year] => 2015
            [month] => 3
            [posts] => 1
        )

    [40] => stdClass Object
        (
            [year] => 2015
            [month] => 2
            [posts] => 3
        )

    [41] => stdClass Object
        (
            [year] => 2014
            [month] => 11
            [posts] => 1
        )

    [42] => stdClass Object
        (
            [year] => 2014
            [month] => 10
            [posts] => 6
        )

    [43] => stdClass Object
        (
            [year] => 2014
            [month] => 9
            [posts] => 51
        )

    [44] => stdClass Object
        (
            [year] => 2014
            [month] => 6
            [posts] => 3
        )

    [45] => stdClass Object
        (
            [year] => 2014
            [month] => 5
            [posts] => 2
        )

    [46] => stdClass Object
        (
            [year] => 2014
            [month] => 4
            [posts] => 1
        )

    [47] => stdClass Object
        (
            [year] => 2014
            [month] => 3
            [posts] => 2
        )

    [48] => stdClass Object
        (
            [year] => 2014
            [month] => 2
            [posts] => 1
        )

    [49] => stdClass Object
        (
            [year] => 2014
            [month] => 1
            [posts] => 2
        )

    [50] => stdClass Object
        (
            [year] => 2013
            [month] => 11
            [posts] => 3
        )

    [51] => stdClass Object
        (
            [year] => 2013
            [month] => 10
            [posts] => 9
        )

    [52] => stdClass Object
        (
            [year] => 2013
            [month] => 9
            [posts] => 12
        )

    [53] => stdClass Object
        (
            [year] => 2013
            [month] => 7
            [posts] => 5
        )

    [54] => stdClass Object
        (
            [year] => 2013
            [month] => 6
            [posts] => 5
        )

    [55] => stdClass Object
        (
            [year] => 2013
            [month] => 5
            [posts] => 2
        )

    [56] => stdClass Object
        (
            [year] => 2013
            [month] => 4
            [posts] => 3
        )

    [57] => stdClass Object
        (
            [year] => 2013
            [month] => 3
            [posts] => 2
        )

    [58] => stdClass Object
        (
            [year] => 2013
            [month] => 2
            [posts] => 2
        )

    [59] => stdClass Object
        (
            [year] => 2012
            [month] => 10
            [posts] => 6
        )

    [60] => stdClass Object
        (
            [year] => 2012
            [month] => 9
            [posts] => 57
        )

    [61] => stdClass Object
        (
            [year] => 2012
            [month] => 6
            [posts] => 1
        )

    [62] => stdClass Object
        (
            [year] => 2012
            [month] => 4
            [posts] => 1
        )

    [63] => stdClass Object
        (
            [year] => 2012
            [month] => 3
            [posts] => 4
        )

    [64] => stdClass Object
        (
            [year] => 2012
            [month] => 1
            [posts] => 4
        )

    [65] => stdClass Object
        (
            [year] => 2011
            [month] => 11
            [posts] => 1
        )

    [66] => stdClass Object
        (
            [year] => 2011
            [month] => 10
            [posts] => 3
        )

    [67] => stdClass Object
        (
            [year] => 2011
            [month] => 9
            [posts] => 10
        )

    [68] => stdClass Object
        (
            [year] => 2011
            [month] => 4
            [posts] => 2
        )

    [69] => stdClass Object
        (
            [year] => 2011
            [month] => 2
            [posts] => 2
        )

    [70] => stdClass Object
        (
            [year] => 2011
            [month] => 1
            [posts] => 2
        )

    [71] => stdClass Object
        (
            [year] => 2010
            [month] => 10
            [posts] => 4
        )

    [72] => stdClass Object
        (
            [year] => 2010
            [month] => 9
            [posts] => 49
        )

    [73] => stdClass Object
        (
            [year] => 2010
            [month] => 3
            [posts] => 1
        )

    [74] => stdClass Object
        (
            [year] => 2010
            [month] => 1
            [posts] => 2
        )

    [75] => stdClass Object
        (
            [year] => 2009
            [month] => 11
            [posts] => 3
        )

    [76] => stdClass Object
        (
            [year] => 2009
            [month] => 10
            [posts] => 2
        )

    [77] => stdClass Object
        (
            [year] => 2009
            [month] => 9
            [posts] => 13
        )

    [78] => stdClass Object
        (
            [year] => 2009
            [month] => 3
            [posts] => 1
        )

    [79] => stdClass Object
        (
            [year] => 2009
            [month] => 2
            [posts] => 5
        )

    [80] => stdClass Object
        (
            [year] => 2009
            [month] => 1
            [posts] => 1
        )

    [81] => stdClass Object
        (
            [year] => 2008
            [month] => 11
            [posts] => 2
        )

    [82] => stdClass Object
        (
            [year] => 2008
            [month] => 10
            [posts] => 3
        )

    [83] => stdClass Object
        (
            [year] => 2008
            [month] => 9
            [posts] => 24
        )

    [84] => stdClass Object
        (
            [year] => 2008
            [month] => 4
            [posts] => 1
        )

    [85] => stdClass Object
        (
            [year] => 2008
            [month] => 1
            [posts] => 2
        )

    [86] => stdClass Object
        (
            [year] => 2007
            [month] => 12
            [posts] => 1
        )

    [87] => stdClass Object
        (
            [year] => 2007
            [month] => 11
            [posts] => 1
        )

    [88] => stdClass Object
        (
            [year] => 2007
            [month] => 10
            [posts] => 1
        )

    [89] => stdClass Object
        (
            [year] => 2007
            [month] => 9
            [posts] => 10
        )

    [90] => stdClass Object
        (
            [year] => 2007
            [month] => 6
            [posts] => 2
        )

    [91] => stdClass Object
        (
            [year] => 2007
            [month] => 5
            [posts] => 1
        )

    [92] => stdClass Object
        (
            [year] => 2007
            [month] => 4
            [posts] => 1
        )

    [93] => stdClass Object
        (
            [year] => 2006
            [month] => 11
            [posts] => 1
        )

    [94] => stdClass Object
        (
            [year] => 2006
            [month] => 9
            [posts] => 31
        )

    [95] => stdClass Object
        (
            [year] => 2006
            [month] => 3
            [posts] => 1
        )

    [96] => stdClass Object
        (
            [year] => 2006
            [month] => 1
            [posts] => 1
        )

    [97] => stdClass Object
        (
            [year] => 2004
            [month] => 4
            [posts] => 1
        )

)
	        

Memberships

Become a member

For priority access to our events & gain access to our downloadable resources

Email updates

Sign up

To receive email updates about our forthcoming events and news please sign up here.

Why attend a BIEE Conference?

Explore this site

  • Home
  • About Us
  • Meetings
  • Videos

Contact Us

Email: admin@biee.org
Tel: 01296 747 916
Fax: 01296 747916

Copyright © 2005-2016 British Institute of Energy Economics All rights reserved.
Privacy | XML Sitemap

Web Design Oxford