PCA-BASED EX-ANTE FORECASTING OF SWAP TERM STRUCTURES
Year of publication: |
2009
|
---|---|
Authors: | BLASKOWITZ, OLIVER ; HERWARTZ, HELMUT |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 12.2009, 04, p. 465-489
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Adaptive ex-ante forecasting | EURIBOR swap rates | term structure |
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