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