Sharma, Susan S; Thuraisamy, Kannan - Deakin University, Faculty of Business and Law, School … - 2012
In this paper, we test whether oil price uncertainty predicts CDS returns for eight Asian countries. We use the Westerlund and Narayan (2011, 2012) predictability test that takes into consideration persistency, endogeneity, and heteroskedasticity of the data. In-sample evidence reveals that oil...