Forecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress.
Journal article
Apergis, Nicholas 2015. Forecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress. Economics Letters. https://doi.org/10.1016/j.econlet.2015.08.032
Authors | Apergis, Nicholas |
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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. |
Keywords | Newswire messages; CDS; Sovereign debt problems; European countries |
Year | 2015 |
Journal | Economics Letters |
Publisher | Elsevier |
ISSN | 0165-1765 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.econlet.2015.08.032 |
Web address (URL) | http://hdl.handle.net/10545/623384 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/623384 | |
Publication dates | 10 Sep 2015 |
Publication process dates | |
Deposited | 26 Jan 2019, 13:47 |
Contributors | Northumbria University |
File | File Access Level Open |
File | File Access Level Open |
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https://repository.derby.ac.uk/item/94x3y/forecasting-credit-default-swaps-cdss-spreads-with-newswire-messages-evidence-from-european-countries-under-financial-distress
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