Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach

In this study, we introduce a novel time-varying parameter vector autoregressive frequency connectedness approach to obtain refined measures of the frequency transmission mechanism and dynamic integration among six well-established crude oil benchmarks. The period of investigation ranges from May 14th, 1996 to December 3rd, 2020 and focuses on the differences between short-term (1–5 days) and long-term (6–100 days) crude oil volatility connectedness. Findings are suggestive of relatively strong co-movements among crude oil volatility over time. For most part of the sample period, connectedness occurs in the short-run; nonetheless, starting approximately in 2010, long-run connectedness gains much prominence until at least the end of 2015. Long-run connectedness is also prevalent at the beginning of 2020 caused by the COVID-19 pandemic. We opine that periods of increased long-run connectedness relate to deeper changes in the market for crude oil that bring about new dynamics and associations within the specific network. •We distinguish between high-frequency and low-frequency connectedness.•We employ a time-varying parameter connectedness framework.•We provide new evidence on connectedness among crude oil price benchmarks.•We show that frequency analysis is crucial when events affect the structure of the crude oil market.