Unraveling Timing Uncertainty of Event-driven Connectedness among Oil-Based Energy Commodities
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- Evžen Kočenda & Daniel Bartušek & Evžen Kocenda, 2024. "Disentangling Timing Uncertainty of Event-Driven Connectedness among Oil-Based Energy Commodities," CESifo Working Paper Series 11494, CESifo.
References listed on IDEAS
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More about this item
Keywords
energy commodities; crude oil; volatility connectedness; systemic events; bootstrapafter-bootstrap procedure;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
- Q35 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Hydrocarbon Resources
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2024-01-08 (Energy Economics)
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