This paper investigates the connectedness, in time and frequency domain, between daily returns series of crude oil and petroleum products for the period January 11, 2003 to March 12, 2018. In doing so, we have applied DY (2012) and BK (2018) spillover method. The overall spillover index value obtained from DY (2012) method is 62.29% and from BK method index value fluctuates with frequency. Further empirical evidence shows that the total connectedness, in the time and frequency domain, as measured by a rolling-window approach, has dynamic and volatile characteristics. Our overall results show that there is a high level of partial contemporaneous relationship between jet fuel, heating oil, US gasoline as well as diesel. Furthermore, results from the wavelet multiple correlations (WMCs) and cross-correlation show that heating oil acts as a leader for a short time horizon, whereas gasoline at medium and longer time scale. The results from the DY spillover analysis suggest that among the series analyzed heating oil has the highest contribution to others, which is confirmed across frequencies by the BK spillover method (and the Brent contributes least to others at all frequency bands). These findings have important implications for a wide range of market participants, including investors, hedge funds, speculators, as well as for energy policy, with different temporal horizons.

中文翻译：

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分析原油和石油产品之间的关联性：来自美国的证据

本文研究了2003年1月11日至2018年3月12日期间原油和石油产品日收益序列之间在时域和频域上的关联性。在此过程中，我们应用了DY（2012）和BK（2018） ）溢出法。DY(2012)法得出的总体溢出指数值为62.29%，BK法得出的指数值随频率波动。进一步的经验证据表明，通过滚动窗口方法测量的时域和频域的总连通性具有动态和波动的特征。我们的总体结果表明，航空燃油、取暖油、美国汽油和柴油之间存在高度的部分同期关系。此外，小波多重相关 (WMC) 和互相关的结果表明，取暖油在短时间范围内处于领先地位，而汽油在中长期时间范围内处于领先地位。DY 溢出分析的结果表明，在所分析的系列中，取暖油对其他油的贡献最高，这通过 BK 溢出方法在各个频率上得到了证实（布伦特原油在所有频段对其他油的贡献最小）。这些发现对广泛的市场参与者（包括投资者、对冲基金、投机者）以及不同时间范围的能源政策具有重要意义。这通过 BK 溢出方法在各个频率上得到了证实（布伦特原油在所有频段上对其他原油的贡献最小）。这些发现对广泛的市场参与者（包括投资者、对冲基金、投机者）以及不同时间范围的能源政策具有重要意义。这通过 BK 溢出方法在各个频率上得到了证实（布伦特原油在所有频段上对其他原油的贡献最小）。这些发现对广泛的市场参与者（包括投资者、对冲基金、投机者）以及不同时间范围的能源政策具有重要意义。