Nonlinearities in the oil effects on the sovereign credit risk: a self-exciting threshold autoregression approach
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
|
Subject: | Sovereign CDS volatility | Oil market | FIAPARCH | SETAR | Threshold regime-switching | Volatilität | Volatility | Kreditderivat | Credit derivative | Welt | World | Ölmarkt | Länderrisiko | Country risk | Kreditrisiko | Credit risk | Autokorrelation | Autocorrelation | Öffentliche Anleihe | Public bond | Schätzung | Estimation | Ölpreis | Oil price | Nichtlineare Regression | Nonlinear regression |
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