Windowed volatility spillover effects among crude oil prices

This paper investigates the volatility spillover effects among different oil prices by examining a short-term rolling window, named the windowed volatility spillover effects, and its dynamic evolution process. Using nine international crude oil prices as sample data, we establish thousands of spillover networks evolving into each other, in which a network represents the structure of spillovers among oil prices based on the GARCH-BEKK model and network theory. Our findings show that the world oil market is 'one great pool' due to the enhancement of the overall structure of a network. However, the time-varying structure of the network indicates that the spillovers across oil prices change in different sample periods. We identify the important oil prices that act as net transmitters of the highest spillovers or the net bridges of greatest degree during different periods. Importantly, we provide a dynamic perspective to explain the benchmark role of Brent and WTI prices, which not only serve as important net bridges but also act as net transmitters with more spillovers to other prices of different magnitudes. Our research supports a deep understanding of the dynamic process of volatility spillover effects among crude oil prices and provides an important reference for market investment. (C) 2020 Elsevier Ltd. All rights reserved.