What I've done is insert the link without any HTML coding (E.g. just, http://google.com), saved the event, and although it is not a live link on my calendar when I view it on my computer, it is live when viewed on the standard calendar app on my Android smartphone. I've found this to be very handy.
I have not found a way to make it live on the computer when I am signed in, but I'm not sure how such an even would appear to other's viewing my calendar; perhaps it would be clickable for them.
Snarky note: Notice how http://google.com automatically becomes a live link in this response? I wonder why it can't just be that simple in Google Calendar? Even if they'd just add a box when you schedule an event that's entitled URL, it seems it would be a pretty simple thing. I was also able to bold "Snarky Note" with simple HTML, so it isn't like Google is unfamiliar with its use.