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

被引：13

作者：

Apergis, Nicholas ^{[1
]}

机构：

[1] Northumbria Univ, Sch Business, Newcastle Upon Tyne NE1 8ST, Tyne & Wear, England

来源：

ECONOMICS LETTERS | 2015年 / 136卷

关键词：

Newswire messages; CDS; European countries; Sovereign debt problems; COMMUNICATION; CRISIS;

D O I：

10.1016/j.econlet.2015.08.032

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：92 / 94

页数：3

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