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
2018-12-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/6/4/141 |