Macroeconomic news sentiment: Enhanced risk assessment for sovereign bonds
We enhance the modelling and risk assessment of sovereign bond spreads by taking into account quantitative information gained from macro-economic news sentiment. We investigate sovereign bonds spreads of five European countries and improve the prediction of spread changes by incorporating news senti...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018
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| Online Access: | View Fulltext in Publisher |