Nonlinearities in the oil effects on the sovereign credit risk: a self-exciting threshold autoregression approach
Saker Sabkha; Christian de Peretti; Dorra Hmaied
| Year of publication: |
2019
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|---|---|
| Authors: | Sabkha, Saker ; Peretti, Christian de ; Hmaied, Dorra Mezzez |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 50.2019, p. 106-133
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| Subject: | Sovereign CDS volatility | Oil market | FIAPARCH | SETAR | Threshold regime-switching | Volatilität | Volatility | Kreditderivat | Credit derivative | Ölmarkt | Kreditrisiko | Credit risk | Welt | World | Schätzung | Estimation | Öffentliche Anleihe | Public bond | Ölpreis | Oil price | Länderrisiko | Country risk | Nichtlineare Regression | Nonlinear regression | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2019.04.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012177033