Forecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress.
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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.Citation
Apergis, N. (2015) 'Forecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress', Economics Letters, 136, pp.92-94. doi: 10.1016/j.econlet.2015.08.032.Publisher
ElsevierJournal
Economics LettersDOI
10.1016/j.econlet.2015.08.032Additional Links
https://www.sciencedirect.com/science/article/pii/S016517651500347XType
ArticleLanguage
enISSN
0165-1765Scopus Count
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