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

Nicholas Apergis

Research output: Contribution to journalArticlepeer-review

8 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 languageEnglish
Pages (from-to)92-94
JournalEconomics Letters
Volume136
Early online date10 Sep 2015
DOIs
Publication statusPublished - 1 Nov 2015

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