Abstract 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.

中文翻译：

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原油价格之间的窗口波动溢出效应

摘要 本文通过考察一个短期滚动窗口，称为窗口波动溢出效应及其动态演化过程，研究了不同油价之间的波动溢出效应。以九个国际原油价格为样本数据，我们建立了数千个相互演化的溢出网络，其中一个网络表示基于GARCH-BEKK模型和网络理论的石油价格之间的溢出结构。我们的研究结果表明，由于网络整体结构的增强，世界石油市场是“一个大水池”。然而，网络的时变结构表明，石油价格的溢出效应在不同的样本期发生了变化。我们确定了重要的石油价格，它们在不同时期充当最高溢出效应的净传递者或最大程度的净桥梁。重要的是，我们提供了一个动态视角来解释布伦特和 WTI 价格的基准作用，它们不仅充当重要的净桥梁，而且还充当对其他不同幅度的价格有更多溢出的净传输器。我们的研究支持深入理解原油价格波动溢出效应的动态过程，为市场投资提供重要参考。