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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver J.; Herwartz, Helmut - 2008
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 …
Persistent link: https://www.econbiz.de/10010271837
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Adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver (contributor);  … - 2008
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...
Persistent link: https://www.econbiz.de/10003636128
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Modeling the FIBOR/EURIBOR swap term structure : an empirical approach
Blaskowitz, Oliver (contributor);  … - 2005
, we propose a data driven, adaptive model selection strategy to 'predict the best forecasting model' out of a set of 100 …
Persistent link: https://www.econbiz.de/10003049489
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Adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver J.; Herwartz, Helmut - 2008
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...
Persistent link: https://www.econbiz.de/10010274224
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Modeling the FIBOR/EURIBOR swap term structure: an empirical approach
Blaskowitz, Oliver J.; Herwartz, Helmut; Cadenas … - 2005
, we propose a data driven, adaptive model selection strategy to 'predict the best forecasting model' out of a set of 100 …
Persistent link: https://www.econbiz.de/10010271835
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Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach
Blaskowitz, Oliver J.; Herwartz, Helmut; de Cadenas … - 2005
, we propose a data driven, adaptive model selection strategy to ?predict the best forecasting model? out of a set of 100 …
Persistent link: https://www.econbiz.de/10010296240
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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure.
Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic ex …–ante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither …
Persistent link: https://www.econbiz.de/10005489961
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Modeling the FIBOR/EURIBOR Swap Term Structure : An Empirical Approach
Blaskowitz, Oliver J.; Herwartz, Helmut; de Cadenas … - Institut für Volkswirtschaftslehre, … - 2005
, we propose a data driven, adaptive model selection strategy to ?predict the best forecasting model? out of a set of 100 …
Persistent link: https://www.econbiz.de/10005082839
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Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach
Blaskowitz, Oliver; Herwartz, Helmut; Santiago, Gonzalo … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
, we propose a data driven, adaptive model selection strategy to ’predict the best forecasting model’ out of a set of 100 …
Persistent link: https://www.econbiz.de/10005678035
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Adaptive Forecasting of the EURIBOR Swap Term Structure
Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...
Persistent link: https://www.econbiz.de/10005860579