This study provides a novel framework for analysing systematic tail risk transmission mechanisms by combining the Conditional Autoregressive Value-at-Risk (CAViaR) model with the recently developed Time-Varying Parameter Vector Autoregressive (TVP-VAR) based connectedness approach. We estimate dynamic spillovers across two crude oil (Brent and WTI) and four refined petroleum product (gasoline, heating oil, jet fuel and propane) prices from January, 17, 1997 to December 11, 2020. Results show that, both heating oil and kerosene are persistent net transmitters of shocks, signifying the important role of liquidity in the relevant markets. In addition, the role of either crude oil type appears to shift around 2009 following developments in the energy market. Overall, our findings suggest that, total connectedness are positively affected by major crisis episodes and that the recent COVID-19 pandemic appears to have the potential to propel both tail risk and exposure to losses to levels akin to those of the Global Financial Crisis of 2007-2008.