Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries : evidence from rolling windows and crossquantilogram analysis
Syed Jawad Hussain Shahzad, Nader Naifar, Shawkat Hammoudeh, David Roubaud
| Year of publication: |
October 2017
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|---|---|
| Authors: | Shahzad, Syed Jawad Hussain ; Naifar, Nader ; Hammoudeh, Shawkat ; Roubaud, David |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 68.2017, p. 327-339
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| Subject: | Oil volatility | Uncertainty | Sovereign CDS spreads | Directional predictability | Cross-quantilogram | Volatilität | Volatility | Kreditderivat | Credit derivative | Ölmarkt | Oil market | Zinsstruktur | Yield curve | Länderrisiko | Country risk | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Kreditrisiko | Credit risk | Öffentliche Anleihe | Public bond | Ölpreis | Oil price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.10.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011905787