Professor Kočenda published an article in the Research in International Business and Finance

Peter Albrecht, Evžen Kočenda, Alexandre Silva de Oliveira, Paulo Sergio Ceretta and Michal Drábek have published an article titled Event-Driven Changes in Connectedness Among Commodities and Commodity Currencies: A Quantile, Network and Probabilistic Analysis in the journal Research in International Business and Finance.

The reserach team comprehensively analyze return connectedness among commodity currencies and commodities from 2010 to 2023. The findings reveal iron, coal, and the Australian dollar as return transmitters to other currencies and commodities, particularly during economic downturns. By employing quantile analysis, the authors identify commodity currencies as net spillover receivers during periods of extreme economic turbulence. Additionally, authors employ a novel testing bootstrap-after-bootstrap procedure and present the first statistically grounded evidence that endogenously identified specific shocks are behind increases in connectedness and correspond to systematic events in commodity markets. The research team finds twelve endogenously chosen events corresponding to an escalation in return connectedness within a maximum of one business month following the event's occurrence. They also show that connectedness is linked to measures of uncertainty and liquidity that produce distinct impacts. Importantly, the results remain robust across various measures and carry significant implications for portfolio construction and risk management strategies.