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  1. Unraveling timing uncertainty of event-driven connectedness among oil-based energy commodities
    Author: Bartušek, Daniel; Kočenda, Evžen
    Published: [2023]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    The pricing dynamics of oil-based commodities are frequently influenced by reported events. Our analysis spans almost 900 oil-related events from 1978 to 2022, categorizing them based on recurring characteristics. Employing a novel... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 167
    Inter-library loan:
    No inter-library loan

     

    The pricing dynamics of oil-based commodities are frequently influenced by reported events. Our analysis spans almost 900 oil-related events from 1978 to 2022, categorizing them based on recurring characteristics. Employing a novel bootstrap-after-bootstrap testing econometric framework, we quantify dynamic connectedness among energy commodities. Our findings reveal over 20 statistically significant historical events that triggered abrupt and enduring increases in volatility connectedness. Notably, geopolitical events are more consistently associated with elevated connectedness than economic events, while natural events do not exhibit a similar impact. The prevailing characteristics shared by events leading to increased volatility connectedness include their negativity, unexpected nature, and the introduction of concerns about oil supply shortages.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/286364
    Series: IES working paper ; 2023, 35
    Subjects: energy commodities; crude oil; volatility connectedness; systemic events; bootstrapafter-bootstrap procedure
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  2. Frequency volatility connectedness and portfolio hedging of U.S. energy commodities
    Author: Kočenda, Evžen; Moravcová, Michala
    Published: January 2024
    Publisher:  CESifo, Munich, Germany

    We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
    Inter-library loan:
    No inter-library loan

     

    We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment horizons and (ii) different periods of distress. The early stage of the Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment horizons, particularly during the three major distress periods. We also show that despite it is difficult and more costly to diversify an energy portfolio during distress periods, adding natural gas seems to bring non-marginal diversification benefits.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/295978
    Series: CESifo working papers ; 10889 (2024)
    Subjects: connectedness; volatility spillovers; frequency decomposition; portfolio weights and hedge ratios; energy commodities; distress
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen