Yandel put the game away with 6.5 seconds left in overtime by stealing the puck in the Phoenix zone and beating Ilya Bryzgalov on a breakaway.
Tim Kennedy and Mikkel Boedker also scored for the Coyotes, who ended a three-game losing streak. Yandel opened the scoring in the first period.
Mike Smith allowed three goals on just 10 shots and was replaced in the second period by Thomas Griess, who kept the Oilers at bay the rest of the game.
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