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dc.contributor.authorApergis, Nicholas
dc.date.accessioned2019-01-26T13:47:18Z
dc.date.available2019-01-26T13:47:18Z
dc.date.issued2015-09-10
dc.identifier.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.en_US
dc.identifier.issn0165-1765
dc.identifier.doi10.1016/j.econlet.2015.08.032
dc.identifier.urihttp://hdl.handle.net/10545/623384
dc.description.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.en_US
dc.description.sponsorshipN/Aen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.urlhttps://www.sciencedirect.com/science/article/pii/S016517651500347Xen_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectNewswire messagesen_US
dc.subjectCDSen_US
dc.subjectSovereign debt problemsen_US
dc.subjectEuropean countriesen_US
dc.titleForecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress.en_US
dc.typeArticleen_US
dc.contributor.departmentNorthumbria Universityen_US
dc.identifier.journalEconomics Lettersen_US


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