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

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.