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: https://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 |
| Depositing User: | Paul Burns |
| Date Deposited: | 20 Oct 2015 09:36 |
| Last Modified: | 19 Nov 2019 09:04 |
| URI: | http://nrl.northumbria.ac.uk/id/eprint/24044 |
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