Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries : evidence from rolling windows and crossquantilogram analysis
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 | Prognoseverfahren | Forecasting model | Kreditderivat | Credit derivative | Länderrisiko | Country risk | Zinsstruktur | Yield curve | Ölmarkt | Oil market | Risikoprämie | Risk premium | Welt | World |
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