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

Business and Management

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

12 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 Sep 2015
DOIs	https://doi.org/10.1016/j.econlet.2015.08.032
Publication status	Published - 1 Nov 2015

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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",

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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

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JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

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

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