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

Nicholas Apergis

    Research output: Contribution to journalArticlepeer-review

    11 Citations (Scopus)

    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.
    Original languageEnglish
    Pages (from-to)92-94
    JournalEconomics Letters
    Volume136
    Early online date10 Sept 2015
    DOIs
    Publication statusPublished - 1 Nov 2015

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