Forecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress

Apergis, Nicholas (2015) Forecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress. Economics Letters, 136. pp. 92-94. ISSN 0165-1765

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Official URL: http://dx.doi.org/10.1016/j.econlet.2015.08.032

Abstract

This study explores the forecasting performance of newswire messages, revealed by newspaper articles, for CDS. Five European countries with sovereign debt problems, daily data spanning the period 2009–2012, and ARIMA and ARIMAX modeling support the superiority of the ARIMAX model.

Item Type: Article
Uncontrolled Keywords: Newswire messages, CDS, European countries, Sovereign debt problems
Subjects: N300 Finance
P300 Media studies
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: Paul Burns
Date Deposited: 20 Oct 2015 09:36
Last Modified: 03 Nov 2016 13:08
URI: http://nrl.northumbria.ac.uk/id/eprint/24044

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