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 … heteroskedasticity of the data. In-sample evidence reveals that oil price uncertainty can predict CDS returns for three Asian countries … whereas the out-of-sample evidence suggests that oil price uncertainty can predict CDS returns for six countries. …