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 |
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Pages (from-to) | 92-94 |
Journal | Economics Letters |
Volume | 136 |
Early online date | 10 Sep 2015 |
DOIs | |
Publication status | Published - 1 Nov 2015 |