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Disentangling Timing Uncertainty of Event‐Driven Connectedness Among Oil‐Based Energy Commodities

Evžen Kočenda & Daniel Bartušek

The Australian Economic Review2025https://doi.org/10.1111/1467-8462.12583article
AJG 1ABDC B
Weight
0.50

What the paper says

Abstract Reported news events frequently influence the pricing dynamics of oil‐based commodities. We analyse almost 900 oil‐related events from 1987 to 2022, categorising them based on recurring characteristics. We quantify dynamic connectedness among energy commodities and apply a novel bootstrap‐after‐bootstrap testing procedure to identify 21 statistically significant historical events that triggered abrupt and enduring increases in volatility connectedness. Geopolitical events are more consistently associated with elevated connectedness than economic events, while natural events do not exhibit a similar impact. Events share prevailing characteristics: their negativity, unexpected nature and the introduction of concerns about oil supply shortages.

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https://doi.org/https://doi.org/10.1111/1467-8462.12583

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@article{evžen2025,
  title        = {{Disentangling Timing Uncertainty of Event‐Driven Connectedness Among Oil‐Based Energy Commodities}},
  author       = {Evžen Kočenda & Daniel Bartušek},
  journal      = {The Australian Economic Review},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1111/1467-8462.12583},
}

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Disentangling Timing Uncertainty of Event‐Driven Connectedness Among Oil‐Based Energy Commodities

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.44 × 0.4 = 0.18
M · momentum0.65 × 0.15 = 0.10
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.