Nothing Special   »   [go: up one dir, main page]
create a website
Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds. (2018). Erlwein-Sayer, Christina.
In: Risks.
RePEc:gam:jrisks:v:6:y:2018:i:4:p:141-:d:188723.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 26

References cited by this document

Cocites: 41

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The impact of macroeconomic news sentiment on interest rates. (2024). Offner, Eric A ; Audrino, Francesco.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002254.

    Full description at Econpapers || Download paper

  2. Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517.

    Full description at Econpapers || Download paper

  3. Inferences from Portfolio Theory and Efficient Market Hypothesis to the Impact of Social Media on Sovereign Debt: Colombia, Ecuador, and Peru. (2022). Serrano-Monge, Esteban.
    In: JRFM.
    RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:160-:d:784754.

    Full description at Econpapers || Download paper

  4. Does Media Visibility Make EU Fiscal Rules More Effective?. (2021). Langedijk, Sven ; Mourre, Gilles ; Mohl, Philipp ; Hoogeland, Martijn.
    In: European Economy - Discussion Papers 2015 -.
    RePEc:euf:dispap:155.

    Full description at Econpapers || Download paper

  5. Including news data in forecasting macro economic performance of China. (2020). Torkar, Miha ; Lunde, Asger.
    In: Computational Management Science.
    RePEc:spr:comgts:v:17:y:2020:i:4:d:10.1007_s10287-020-00382-5.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Afonso António; Arghyrou Michael G.; Bagdatoglou George; Kontonikas Alexandros. On the time-varying relationship between EMU sovereign spreads and their determinants. Economic Modelling 2015, 44, 363-71.

  2. Afonso António; Arghyrou Michael; Kontonikas Alexandros. The determinants of sovereign bond yield spreads in the EMU. International Journal of Economics and Finance 2014, 19, 49-56.
    Paper not yet in RePEc: Add citation now

  3. Apergis Nicholas. Forecasting Credit Default Swaps spreads with newswire messages: Evidence from European countries under financial distress. Economics Letters 2015, 136, 92-94.

  4. Bech Morten; Illes Annamaria; Lewrick Ulf; Schrimpf Andreas. Hanging up the Phone-Electronic Trading in Fixed Income Markets and Its Implications; Bank for International Settlement: Basel, 2016.

  5. Beetsma Roel; Giuliodori Massimo; Jong Frank De; Widijanto Daniel. Spread the news: The impact of news on the European sovereign bond markets during the crisis. Journal of International Money and Finance 2013, 34, 83-101.

  6. Bernoth Kerstin; Erdogan Burcu. Sovereign bond yield spreads: A time-varying coefficient approach. Journal of International Money and Finance 2012, 31, 639-56.

  7. Caggiano Giovanni; Greco Luciano. Fiscal and financial determinants of Eurozone sovereign spreads. Economics Letters 2012, 117, 774-76.

  8. Del Brio Esther B.; Níguez Trino-Manuel; Perote Javier. Multivariate semi-nonparametric distributions with dynamic conditional correlations. International Journal of Forecasting 2011, 27, 347-64.

  9. Dewachter Hans; Iania Leonardo; Lyrio Marco; Perea Maite de Sola. A macro-financial analysis of the euro area sovereign bond market. Journal of Banking & Finance 2015, 50, 308-25.

  10. Elliott Robert J.; Aggoun Lakhdar; Moore John B. Hidden Markov Models: Estimation and Control; Springer: New York, 1995.
    Paper not yet in RePEc: Add citation now
  11. Engle Robert F. Dynamic conditional correlation: A simple class of multivariate GARCH models. Journal of Business and Economic Statistics 2002, 20, 339-50.
    Paper not yet in RePEc: Add citation now
  12. Evgenidis Anastasios; Tsagkanos Athanasios; Siriopoulos Costas. Towards an asymmetric long-run equilibrium between economic uncertainty and the yield spread. Research in International Business and Finance 2017, 39, 267-79.
    Paper not yet in RePEc: Add citation now
  13. Leinweber David; Sisk Jacob. Relating news analytics to stock returns. The Handbook of News Analytics in Finance; Mitra Gautam; Mitra Leela. John Wiley & Sons: Hoboken, 2011.
    Paper not yet in RePEc: Add citation now

  14. Maltritz Dominik. Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach. Journal of International Money and Finance 2012, 31, 657-72.

  15. Mitra Gautam; Erlwein-Sayer Christina; Valle Cristiano Arbex; Yu Xiang. Using Market Sentiment to Enhance Second-Order Stochastic Dominance Trading Models. High-Performance Computing in Finance; Dempster M. A. H.; Kanniainen Juho; Keane John; Vynckier Erik. Chapman and Hall/CRC: New York, 2018.
    Paper not yet in RePEc: Add citation now

  16. Mitra Leela R.; Mitra Gautam; Bartolomeo Dan di. Equity portfolio risk (volatility) estimation using market information and sentiment. Quantitative Finance 2009, 9, 887-95.

  17. Mitra Leela; Mitra Gautam. Application of news analytics in finance: A review. The Handbook of News Analytics in Finance; Mitra Gautam; Mitra Leela. John Wiley & Sons: Hoboken, 2011.
    Paper not yet in RePEc: Add citation now

  18. Mohl Philipp; Sondermann David. Has political communication during the crisis impacted sovereign bond spreads in the euro area?. Applied Economics Letters 2013, 20, 48-61.

  19. Rabiner Lawrence R. A tutorial on hidden Markov models and selected applications in speech recognition. Proceedings of the IEEE 1989, 77, 257-86.
    Paper not yet in RePEc: Add citation now
  20. RavenPack News Analytics. 2018.
    Paper not yet in RePEc: Add citation now
  21. Stigler Matthieu. Threshold Cointegration: Overview and Implementation in R. R Package Version 0.7-2. 2010.
    Paper not yet in RePEc: Add citation now
  22. Svensson Lars E. Estimating and Interpreting Forward Interest Rates: Sweden 1992–1994; National Bureau of Economic Research: Cambridge, 1994.
    Paper not yet in RePEc: Add citation now

  23. Tsagkanos Athanasios; Siriopoulos Costas. Stock Markets and Industrial Production in North and South of Euro-zone: Asymmetric effects via Threshold Cointegration Approach. Journal of Economic Asymmetries 2015, 12, 162-72.

  24. Tsay Ruey. Analysis of Financial Time Series; Hoboken: John Wiley & Sons, 2010.
    Paper not yet in RePEc: Add citation now
  25. Viterbi Andrew. Error bounds for convolutional codes and an asymptotically optimum decoding algorithm. IEEE transactions on Information Theory 1967, 13, 260-69.
    Paper not yet in RePEc: Add citation now
  26. Yu Xiang; Mitra Gautam. An Impact Measure for News: Its use in (daily) trading strategies. Handbook of Sentiment Analysis in Finance; Mitra Gautam; Yu Xiang. OptiRisk Systems: Uxbridge, 2016; pp. 288-309.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. The international impact of a fragile EMU. (2024). Stracca, Livio ; Pagliari, Maria Sole ; Ioannou, Demosthenes.
    In: European Economic Review.
    RePEc:eee:eecrev:v:161:y:2024:i:c:s0014292123002751.

    Full description at Econpapers || Download paper

  2. The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

    Full description at Econpapers || Download paper

  3. Eurozone government bond spreads: A tale of different ECB policy regimes. (2023). Pieterse-Bloem, Mary.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001663.

    Full description at Econpapers || Download paper

  4. .

    Full description at Econpapers || Download paper

  5. .

    Full description at Econpapers || Download paper

  6. Sovereign bond market integration in the euro area: a new empirical conceptualization. (2022). Dufrenot, Gilles ; Jawadi, Fredj ; Ftiti, Zied.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:318:y:2022:i:1:d:10.1007_s10479-022-04847-5.

    Full description at Econpapers || Download paper

  7. Fiscal tensions and risk premium. (2022). Ciżkowicz, Piotr ; Rzoca, Andrzej ; Parosa, Grzegorz ; Cikowicz, Piotr.
    In: Empirica.
    RePEc:kap:empiri:v:49:y:2022:i:3:d:10.1007_s10663-022-09532-1.

    Full description at Econpapers || Download paper

  8. The Relationship between Fiscal and Monetary Policies in Colombia: An Empirical Exploration of the Credit Channel. (2022). Arias-Rodriguez, Fernando ; Lozano-Espitia, Ignacio.
    In: Latin American Journal of Central Banking (previously Monetaria).
    RePEc:eee:lajcba:v:3:y:2022:i:4:s2666143822000266.

    Full description at Econpapers || Download paper

  9. Economic Modelling at thirty-five: A retrospective bibliometric survey. (2022). Lim, Weng Marc ; Burton, Bruce ; Kumar, Satish ; Pattnaik, Debidutta.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:107:y:2022:i:c:s0264999321003011.

    Full description at Econpapers || Download paper

  10. Sukuk and bond spreads. (2021). Ghassan, Hassan ; Balli, Faruk ; Jeefri, Essam H.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:45:y:2021:i:3:d:10.1007_s12197-021-09545-9.

    Full description at Econpapers || Download paper

  11. Sukuk and bond spreads. (2021). Ghassan, Hassan ; Balli, Faruk ; Al-Jefri, Essam H.
    In: MPRA Paper.
    RePEc:pra:mprapa:106729.

    Full description at Econpapers || Download paper

  12. COVID-induced sovereign risk in the euro area: When did the ECB stop the spread?. (2021). Tripier, Fabien ; Ortmans, Aymeric.
    In: European Economic Review.
    RePEc:eee:eecrev:v:137:y:2021:i:c:s0014292121001537.

    Full description at Econpapers || Download paper

  13. The value of understanding central bank communication. (2020). Girard, Alexandre ; Beaupain, Renaud.
    In: Post-Print.
    RePEc:hal:journl:hal-02509297.

    Full description at Econpapers || Download paper

  14. Oil price shocks and EMU sovereign yield spreads. (2020). Filis, George ; Filippidis, Michail ; Kizys, Renatas.
    In: Energy Economics.
    RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304530.

    Full description at Econpapers || Download paper

  15. The value of understanding central bank communication. (2020). Girard, Alexandre ; Beaupain, Renaud.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:85:y:2020:i:c:p:154-165.

    Full description at Econpapers || Download paper

  16. COVID-Induced Sovereign Risk in the Euro Area: When Did the ECB Stop the Contagion?. (2020). Tripier, Fabien ; Ortmans, Aymeric.
    In: Working Papers.
    RePEc:cii:cepidt:2020-11.

    Full description at Econpapers || Download paper

  17. The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit. (2020). Kadiric, Samir.
    In: EIIW Discussion paper.
    RePEc:bwu:eiiwdp:disbei271.

    Full description at Econpapers || Download paper

  18. Measuring Redenomination Risks in the Euro Area - New Evidence from Survey Data. (2019). Klose, Jens.
    In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy.
    RePEc:zbw:vfsc19:203484.

    Full description at Econpapers || Download paper

  19. Measuring Redenomination Risks in the Euro Area - New Evidence from Survey Data. (2019). Klose, Jens.
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:201903.

    Full description at Econpapers || Download paper

  20. The Effects of Macroeconomic, Fiscal and Monetary Policy Announcements on Sovereign Bond Spreads: An Event Study from the EMU. (2019). Jalles, Joao ; Afonso, Antonio ; Kazemi, Mina.
    In: Working Papers REM.
    RePEc:ise:remwps:wp0672019.

    Full description at Econpapers || Download paper

  21. Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio. (2019). Skoura, Angeliki.
    In: Economies.
    RePEc:gam:jecomi:v:7:y:2019:i:2:p:28-:d:219048.

    Full description at Econpapers || Download paper

  22. Quantitative easing and sovereign yield spreads: Euro-area time-varying evidence. (2019). Jalles, Joao ; Afonso, Antonio.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:58:y:2019:i:c:p:208-224.

    Full description at Econpapers || Download paper

  23. On international integration of emerging sovereign bond markets. (2019). Sharma, Sunil ; Goswami, Mangal ; Chan, Melissa ; Agur, Itai.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:38:y:2019:i:c:p:347-363.

    Full description at Econpapers || Download paper

  24. The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads: an event study from the EMU. (2019). Jalles, Joao ; Afonso, Antonio ; Kazemi, Mina.
    In: EconPol Working Paper.
    RePEc:ces:econwp:_22.

    Full description at Econpapers || Download paper

  25. Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds. (2018). Erlwein-Sayer, Christina.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:4:p:141-:d:188723.

    Full description at Econpapers || Download paper

  26. “Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2018). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio ; Gadea, Maria Dolores.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:86:y:2018:i:c:p:1-30.

    Full description at Econpapers || Download paper

  27. Quantitative Easing and Sovereign Yield Spreads: Euro-Area Time-Varying Evidence. (2017). Jalles, Joao ; Afonso, Antonio.
    In: Working Papers REM.
    RePEc:ise:remwps:wp0202017.

    Full description at Econpapers || Download paper

  28. Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio.
    In: Working Papers REM.
    RePEc:ise:remwps:wp0022017.

    Full description at Econpapers || Download paper

  29. The effect of countries’ ESG ratings on their sovereign borrowing costs. (2017). Crifo, Patricia ; Oueghlissi, Rim ; Diaye, Marc-Arthur.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:66:y:2017:i:c:p:13-20.

    Full description at Econpapers || Download paper

  30. Bank-sovereign contagion in the Eurozone: A panel VAR Approach. (2017). Georgoutsos, Dimitris ; Moratis, George .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:48:y:2017:i:c:p:146-159.

    Full description at Econpapers || Download paper

  31. Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust. (2017). Tamarit, Cecilio ; Paniagua, Jordi ; Sapena, Juan.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:33:y:2017:i:c:p:187-206.

    Full description at Econpapers || Download paper

  32. Sovereign debt and systemic risk in the eurozone. (2017). Popescu, Alexandra ; Turcu, Camelia.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:67:y:2017:i:c:p:275-284.

    Full description at Econpapers || Download paper

  33. Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

    Full description at Econpapers || Download paper

  34. Whatever it takes to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6691.

    Full description at Econpapers || Download paper

  35. Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2017/12.

    Full description at Econpapers || Download paper

  36. Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view. (2016). Gente, Karine ; Dufrénot, Gilles ; Monsia, Fredia .
    In: Post-Print.
    RePEc:hal:journl:hal-01440301.

    Full description at Econpapers || Download paper

  37. Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view. (2016). Dufrénot, Gilles ; Monsia, Fredia ; Gente, Karine ; Dufrenot, Gilles.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:67:y:2016:i:c:p:123-146.

    Full description at Econpapers || Download paper

  38. Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility. (2016). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Fernandez-Rodriguez, Fernando ; Gomez-Puig, Marta.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:43:y:2016:i:c:p:126-145.

    Full description at Econpapers || Download paper

  39. Emerging market sovereign bond spreads, credit ratings and global financial crisis. (2016). Ozmen, Erdal ; Yaar, Ozge Doanay .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:59:y:2016:i:c:p:93-101.

    Full description at Econpapers || Download paper

  40. Windfall of Low Interest Payments and Fiscal Sustainability in the Euro Area: Analysis through Panel Fiscal Reaction Functions. (2015). Trzeciakowski, Rafał ; Rzońca, Andrzej ; Ciżkowicz, Piotr ; Rzoca, Andrzej ; Cikowicz, Piotr.
    In: Kyklos.
    RePEc:bla:kyklos:v:68:y:2015:i:4:p:475-510.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-14 10:06:54 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.