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

Nicholas Apergis

doi:10.1016/j.econlet.2015.08.032

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

Nicholas Apergis

Research output: Contribution to journal › Article › peer-review

17 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 language	English
Pages (from-to)	92-94
Journal	Economics Letters
Volume	136
Early online date	10 Sept 2015
DOIs	https://doi.org/10.1016/j.econlet.2015.08.032
Publication status	Published - 1 Nov 2015

Keywords

Newswire messages
CDS
European countries
Sovereign debt problems

Access to Document

10.1016/j.econlet.2015.08.032

Cite this

@article{a99a5b418c9545209468a85f61281ea2,

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

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, European countries, Sovereign debt problems",

author = "Nicholas Apergis",

year = "2015",

month = nov,

day = "1",

doi = "10.1016/j.econlet.2015.08.032",

language = "English",

volume = "136",

pages = "92--94",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Forecasting Credit Default Swaps (CDSs) spreads with newswire messages

T2 - Evidence from European countries under financial distress

AU - Apergis, Nicholas

PY - 2015/11/1

Y1 - 2015/11/1

N2 - 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.

AB - 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.

KW - Newswire messages

KW - CDS

KW - European countries

KW - Sovereign debt problems

U2 - 10.1016/j.econlet.2015.08.032

DO - 10.1016/j.econlet.2015.08.032

M3 - Article

SN - 0165-1765

VL - 136

SP - 92

EP - 94

JO - Economics Letters

JF - Economics Letters

ER -

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

Abstract

Keywords

Access to Document

Fingerprint

Cite this