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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

Oliver Blaskowitz; Helmut Herwartz

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of choosing e... Full description

Year of Publication: 2008
Contributors: Blaskowitz, Oliver; Herwartz, Helmut
Publisher: Berlin : SFB 649, Economic Risk
Physical Description: Online-Ressource (PDF-Datei: 11 S.)
graph. Darst.
Series: SFB 649 discussion paper ; 2008,064
Language: English
Subjects: Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting technique | Ökonometrisches Modell | Econometric Model | Varianzanalyse | Analysis of variance | Wertpapierhandel | Securities trading | Strategie | Strategy | Hauptkomponentenanalyse | Principal component analysis | Faktorenanalyse | Factor analysis | Theorie | Theory | Euromarkt | Euromarkets | EU-Staaten | EU countries
Classification: jel-C32; jel-C53; jel-E43; jel-G29
Genres: Arbeitspapier
Working Paper
Graue Literatur
Non-commercial literature
Type of Publication: Book / Working Paper
Notes: ANOVA = analysis of variance
Systemvoraussetzungen: Acrobat Reader
Title record from database: ECONIS - Online Catalogue of the ZBW
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Summary: The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of choosing excessively poor models from a parameterized class of candidate specifications. -- Model selection ; principal components ; factor analysis ; exante forecasting ; EURIBOR swap term structure ; trading strategies
Item Description: ANOVA = analysis of variance
Systemvoraussetzungen: Acrobat Reader
Physical Description: Online-Ressource (PDF-Datei: 11 S.)
graph. Darst.

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