Michael S. Haigh and Matthew T. Holt, "Crack Spread Hedging: Accounting
for Time-Varying Volatility Spillovers in the Energy Futures Markets",
Journal of Applied Econometrics, Vol. 17, No. 3, 2002, pp. 269-289.

The weekly time series data which were used in this study can be found in
the file crack.dat, an ASCII file in DOS format which is zipped in the file
hhdata.zip. The file size is 33,280 bytes. There are 769 observations and 6
variables. The data are organized in the order listed below.

Column 		 Price Series
1	         Crude Oil Futures Price
2                Crude Oil Cash Price
3                Heating Oil Futures Price
4                Heating Oil Cash Price
5                Gasoline Futures Price
6                Gasoline Cash Price

The data cover the period 7th December 1984 - 27th August 1999, with the
last 100 observations being used for the out-of-sample analysis. All price
series are in dollars per barrel. For more details on the data, see section
3 of the article.

Michael S. Haigh
Department of Agricultural and Resource Economics
2200 Symons Hall
University of Maryland
College Park, MD 20742-1293

e-mail: mhaigh@arec.umd.edu