 The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis modelLu-Tao Zhao, Dai-Song Wang and Zhong-Yuan Ren Economic Modelling, 2024, vol. 130, issue C Abstract: The analysis of event-oriented oil market risk deserves attention owing to the diversity, complexity and time variant of the oil-related events. From the aspect of oil price volatility, we examine the dynamic impact of joint events of different aspects on the oil market using graph analytical models and the proposed value-at-risk estimation approach. Based on the construction and evaluation of news indices, we confirm that events of six categories have strong short-term causality with oil price returns. Furthermore, we prove the capacity of event-oriented indices on oil market risk assessment tasks. Demand and energy-based events have shown their effect in improving oil market risk estimation, as proved by empirical analysis of assessing value-at-risk of Brent and WTI oil price. This paper confirms the impact of oil-related joint events on oil market risk and provides a new perspective of assessing latent oil market risks associated with exogenous events. Keywords: Oil price; Value-at-risk; Joint events; Graph theory; Multivariate time series (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323003991 DOI: 10.1016/j.econmod.2023.106587 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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