Blaskowitz, Oliver; Herwatz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and … in favor of structural variation, we propose data driven, adaptive model selection strategies based on the PCA/AR model …, directional accuracy and big hit ability are considered. It turns out that relative to benchmark models, the adaptive approach …