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

Verfasserangabe:  Oliver Blaskowitz; Helmut Herwartz
Jahr: 
Beschreibung:  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
Beteiligte Person:  ;
Ort/Verlag:  Berlin : SFB 649, Economic Risk
Umfang:  Online-Ressource (PDF-Datei: 11 S.); graph. Darst.
Schriftenreihe:  SFB 649 discussion paper ; 2008,064SFB 649 discussion paper ; 2008,064
Sprache:  Englisch
Thema:  Zinsswap; Interest rate swap; Zinsstruktur; Term structure of interest rates; 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; Euromarket; EU-Staaten; EU countries
Klassifikation:  jel-C32; jel-C53; jel-E43; jel-G29
Dokumentart (Subkategorien):  Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature
Publikationsform:  Buch / Working Paper
Anmerkungen:  ANOVA = analysis of variance; Systemvoraussetzungen: Acrobat Reader
Nachweis aus Datenbank:  ECONIS - Online-Katalog der ZBW
Verfügbarkeit: 
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